Managed Account Series II N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORMN-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number:811-23340

Name of Fund: Managed Account Series II

BlackRock U.S. Mortgage Portfolio

Fund Address:  100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service:  John M. Perlowski, Chief Executive Officer, Managed Account

                Series II, 55 East 52^nd Street, New York, NY 10055

Registrant’s telephone number, including area code:  (800)441-7762

Date of fiscal year end: 04/30/2019

Date of reporting period: 04/30/2019

Item 1 – Report to Stockholders

APRIL 30, 2019

ANNUAL REPORT

Managed Account Series II

▶ BlackRock U.S. Mortgage Portfolio

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from BlackRock or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

You may elect to receive all future reports in paper free of charge. If you hold accounts directly with BlackRock, you can call (800) 441-7762 to inform BlackRock that you wish to continue receiving paper copies of your shareholder reports. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds advised by BlackRock Advisors, LLC, BlackRock Fund Advisors or their affiliates, or all funds held with your financial intermediary, as applicable.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by: (i) accessing the BlackRock website at www.blackrock.com/edelivery and logging into your accounts, if you hold accounts directly with BlackRock, or (ii) contacting your financial intermediary, if you hold accounts through a financial intermediary. Please note that not all financial intermediaries may offer this service.

Not FDIC Insured • May Lose Value • No Bank Guarantee

The Markets in Review

Dear Shareholder,

In the 12 months ended April 30, 2019, the U.S. equity and bond markets posted positive returns while weathering significant volatility. Though the market’s appetite for risk remained healthy for most of the reporting period, risk taking declined sharply in late 2018. Thereafter, global equity markets rebounded strongly, as inflation diminished and the U.S. Federal Reserve (the “Fed”) announced a shift to less restrictive monetary policy.

Volatility rose in emerging market stocks, as the rising U.S. dollar and higher interest rates in the U.S. disrupted economic growth abroad. U.S.-China trade relations and debt concerns adversely affected the Chinese stock market, while Turkey and Argentina became embroiled in currency crises, largely due to hyperinflation in both countries. An economic slowdown in Europe also led to negative performance for European equities. However, recent economic data indicates that Europe may emerge from its economic soft patch, reinvigorated by a manufacturing rebound and China’s economic stimulus.

In the U.S. equity market, volatility spiked in October, as a wide range of risks were brought to bear on markets, ranging from rising interest rates and slowing global growth to heightened trade tensions and political turmoil in several countries, including the United States. These risks manifested in a broad-based sell-off in December, leading to the worst December performance on record since 1931.

By comparison, fixed-income securities delivered modest positive returns with relatively low volatility. In fixed-income markets, short-term U.S. Treasury yields rose, while longer-term yields declined slightly. This led to positive returns for U.S. Treasuries and a substantial flattening of the yield curve. Investment-grade and high-yield corporate bonds also posted positive returns, as the credit fundamentals in corporate markets remained relatively solid.

The Fed shifted to a more patient perspective on the economy after increasing interest rates three times. In its last four meetings, the Fed left interest rates unchanged and signaled a slower pace of rate hikes in response to the global economic slowdown. Relatively low inflation and modest economic growth give the Fed room to maintain support for the economy until the economic data builds the case for changing interest rates. Similarly, the European Central Bank signaled a continuation of accommodative monetary policy, while China committed to looser credit conditions and an increase in fiscal spending. The shift toward more stimulative economic policy helped equity markets rebound in 2019.

We continue to believe the probability of recession in 2019 remains relatively low. Economic growth and global earnings are likely to slow somewhat in 2019 because the tax cut stimulus will be less pronounced, and the Fed’s rate hikes in 2018 will gain traction in 2019. We expect profit margins to continue to contract, which tends to happen late in the business cycle.

In this environment, U.S. and emerging market equities remain relatively attractive. Within U.S. equities, we believe that companies with high-quality earnings and strong balance sheets offer the most attractive risk/reward trade-off. For bonds, U.S. Treasuries are likely to help buffer against volatility in risk assets, while income from other types of bonds can continue to offer steady returns.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visitblackrock.com for further insight about investing in today’s markets.

Sincerely,

Rob Kapito

President, BlackRock Advisors, LLC

Rob Kapito

President, BlackRock Advisors, LLC

Total Returns as of April 30, 2019
	6-Month	12-Month
U.S. large cap equities (S&P 500® Index)	9.76%	13.49%
U.S. small cap equities (Russell 2000® Index)	6.06	4.61
International equities (MSCI Europe, Australasia, Far East Index)	7.45	(3.22)
Emerging market equities (MSCI Emerging Markets Index)	13.76	(5.04)
3-month Treasury bills (ICE BofAML 3-Month U.S. Treasury Bill Index)	1.18	2.18
U.S. Treasury securities (ICE BofAML 10-Year U.S. Treasury Index)	7.09	6.44
U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index)	5.49	5.29
Tax-exempt municipal bonds (S&P Municipal Bond Index)	5.36	5.84
U.S. high yield bonds (Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)	5.54	6.74
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

2 THIS PAGEISNOT PARTOF YOUR FUND REPORT

Table of Contents

	Page
The Markets in Review		2
Annual Report:
Fund Summary		4
About Fund Performance		7
Disclosure of Expenses		7
The Benefits and Risks of Leveraging		8
Derivative Financial Instruments		8
Financial Statements:
Schedule of Investments		9
Statement of Assets and Liabilities		19
Statement of Operations		20
Statements of Changes in Net Assets		21
Statement of Cash Flows		22
Financial Highlights		24
Notes to Financial Statements		27
Report of Independent Registered Public Accounting Firm		38
Important Tax Information		38
Trustee and Officer Information		39
Additional Information		42
Glossary of Terms Used in this Report		44

3

Fund Summary  as of April 30, 2019 BlackRock U.S. Mortgage Portfolio

Investment Objective

BlackRock U.S. Mortgage Portfolio’s (the “Fund”) investment objective is to seek high total return.

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended April 30, 2019, the Fund underperformed its benchmark, the Bloomberg Barclays U.S. Mortgage-Backed Securities Index.

What factors influenced performance?

The largest detractors from the Fund’s performance during the period were allocations to out-of-benchmark securitized sectors such as commercial mortgage-backed securities (“CMBS”) and agency collateralized mortgage obligations (“CMOs”).

Positive contributions to the Fund’s performance relative to the benchmark during the 12-month period were led by active trades within the agency mortgage-backed security (“MBS”) market. Strategies that seek to optimize the blend of to-be-announced (“TBA”) securities and specified mortgage pools to replicate the benchmark also helped performance.

Describe recent portfolio activity.

During the 12-month period, the Fund reduced exposure to agency MBS passthroughs, while increasing exposures to agency CMOs and agency MBS derivatives, including interest-only (“IO”) and inverse IO instruments. The Fund decreased its overall exposure to securitized assets including CMBS, collateralized loan obligations and asset-backed securities.

Describe portfolio positioning at period end.

Relative to the benchmark, the Fund ended the period positioned overweight in agency MBS, on the view that valuations were attractive relative to comparable asset classes. The Fund’s relative value positioning was focused on specified pools across both conventional MBS and Government National Mortgage Association (‘GNMA”) securities. In regard to the Fund’s active benchmark strategy where the investment adviser optimizes the mix of TBA and specified pools to own versus the benchmark, the Fund favored specified pools with lower loan balances, which have demonstrated greater interest rate sensitivity relative to TBA pools. The Fund was positioned with a marginally above-benchmark stance with respect to duration and corresponding sensitivity to interest rate changes. With respect to out-of-benchmark strategies, the Fund continued to hold a core allocation to CMBS and agency CMOs for incremental income.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

Portfolio Information

PORTFOLIO COMPOSITION

Asset Type	Percent of Total Investments (a)
U.S. Government Sponsored Agency Obligations		93	%
Non-Agency Mortgage-Backed Securities		5
Asset-Backed Securities		2

^(a) Total Investments exclude short-term securities, options purchased, options written and TBA sale commitments.

CREDIT QUALITY ALLOCATION

Credit Rating(a)	Percent of Total Investments (b)
AAA/Aaa(c)		97	%
AA/Aa		1
A		1
BB/Ba		—	(d)
CC/Ca		—	(d)
NR		1

^(a)  For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings (“S&P”) or Moody’s Investors Service if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated NR are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

^(b)  Total Investments exclude short-term securities, options purchased, options written and TBA sale commitments.

^(c)  The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment advisor has deemed unrated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations to be of similar credit quality as investments rated AAA/Aaa.

^(d)  Represents less than 1% of the Fund’s total investments.

4 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Fund Summary  as of April 30, 2019(continued) BlackRock U.S. Mortgage Portfolio

TOTAL RETURN BASED ON A $10,000 INVESTMENT

^(a)  Assuming maximum sales charges, if any, transaction costs and other operating expenses, including investment advisory fees. Institutional Shares do not have a sales charge. Prior to December 6, 2010, Investor A Shares performance results are those of Institutional Shares (which have no distribution or service fees) restated to reflect Investor A Share fees.

^(b)  The Fund invests primarily in mortgage-related securities. Under normal circumstances, the Fund will invest at least 80% of its assets in mortgage-backed securities and other mortgage-related securities that are issued by issuers located in the United States. On September 17, 2018, the Fund acquired all of the assets, subject to the liabilities, of BlackRock U.S. Mortgage Portfolio (the “Predecessor Fund”), a series of Managed Account Series, through a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization.

^(c)  An unmanaged index that includes the mortgage-backed pass-through securities of Ginnie Mae, Fannie Mae and Freddie Mac that meet certain maturity and liquidity criteria.

Performance Summary for the Period Ended April 30, 2019

										Average Annual Total Returns (a)
										1 Year						5 Years						10 Years
	Standardized 30-Day Yields			Unsubsidized 30-Day Yields			6-Month Total Returns			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge			w/o sales charge			w/sales charge
Institutional		3.43	%		3.26	%		4.69	%		4.73	%		N/A			2.84	%		N/A			5.28	%		N/A
Investor A		3.05			2.83			4.57			4.47			0.29	%		2.57			1.73	%		4.97			4.55	%
Investor C		2.43			2.20			4.08			3.70			2.70			1.80			1.80			4.20			4.20
Bloomberg Barclays U.S. Mortgage- Backed Securities Index		—			—			4.90			4.89			N/A			2.45			N/A			3.07			N/A

^(a)  Assuming maximum sales charges, if any. Average annual total returns with and without sales charges reflect reductions for distribution and service fees. See “About Fund Performance” on page 6 for a detailed description of share classes, including any related sales charges and fees, and how performance was calculated for certain share classes. On September 17, 2018, the Fund acquired all of the assets, subject to the liabilities, of BlackRock U.S. Mortgage Portfolio (the “Predecessor Fund”), a series of Managed Account Series, through a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization.

N/A — Not applicable as share class and index do not have a sales charge.

Past performance is not indicative of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions on the redemptions of Fund Shares.

Performance results may include adjustments for financial reporting purpose in accordance with U.S. generally accepted accounting principles.

FUND SUMMARY 5

Fund Summary  as of April 30, 2019 (continued) BlackRock U.S. Mortgage Portfolio

Expense Example

	Actual								Hypothetical (a)
					Including interest expense		Excluding interest expense				Including interest expense				Excluding interest expense
	Beginning Account Value (11/01/18)		Ending Account Value (04/30/19)		Expenses Paid During the Period (b)		Expenses Paid During the Period (c)		Beginning Account Value (11/01/18)		Ending Account Value (04/30/19)		Expenses Paid During the Period (b)		Ending Account Value (04/30/19)		Expenses Paid During the Period (c)
Institutional	$	1,000.00	$	1,046.90	$	7.56	$	2.28	$	1,000.00	$	1,017.41	$	7.45	$	1,022.56	$	2.26
Investor A		1,000.00		1,045.70		8.88		3.55		1,000.00		1,016.12		8.75		1,021.32		3.51
Investor C		1,000.00		1,040.80		12.70		7.34		1,000.00		1,012.35		12.52		1,017.60		7.25

^(a)  Hypothetical 5% annual return before expenses is calculated by prorating the number of days in the most recent fiscal half year divided by 365.

^(b)  For each class of the Fund, expenses are equal to the annualized expense ratio for the class (1.49% for Institutional, 1.75% for Investor A and 2.51% for Investor C), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. This agreement has no fixed term.

^(c)  For each class of the Fund, expenses are equal to the annualized expense ratio for the class (0.45% for Institutional, 0.70% for Investor A and 1.45% for Investor C), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). BlackRock has contractually agreed to waive all fees and pay or reimburse all direct expenses, except extraordinary expenses, incurred by the Fund. Extraordinary expenses may include dividend expense, interest expense, acquired fund fees and expenses and certain other Fund expenses. This agreement has no fixed term.

See “Disclosure of Expenses” on page 7 for further information on how expenses were calculated.

6 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

About Fund Performance

On September 17, 2018, the Fund acquired all of the assets, subject to the liabilities, of a corresponding series of Managed Account Series (the “Predecessor Fund”) in a tax-free reorganization (the “Reorganization”). The Predecessor Fund is the performance and accounting survivor of the Reorganization. Accordingly, information provided herein for periods prior to the Reorganization is that of the Predecessor Fund. See Note 1 of the Notes to Financial Statements for additional information regarding the Reorganization.

Institutional Shares are not subject to any sales charge. These shares bear no ongoing distribution or service fees and are available only to certain eligible investors.

Investor A Shares are subject to a maximum initial sales charge (front-end load) of 4.00% and a service fee of 0.25% per year (but no distribution fee). Certain redemptions of these shares may be subject to a contingent deferred sales charge (“CDSC”) where no initial sales charge was paid at the time of purchase. These shares are generally available through financial intermediaries. Prior to December 6, 2010, the Fund’s Investor A Shares performance results are those of Institutional Shares (which have no distribution or service fees) restated to reflect Investor A Share fees.

Investor C Shares are subject to a 1.00% CDSC if redeemed within one year of purchase. In addition, these shares are subject to a distribution fee of 0.75% per year and a service fee of 0.25% per year. These shares are generally available through financial intermediaries. Prior to December 6, 2010, the Fund’s Investor C Shares performance results are those of Institutional Shares (which have no distribution or service fees) restated to reflect Investor C Share fees. Effective November 8, 2018, the Fund adopted an automatic conversion feature whereby Investor C Shares held for approximately ten years will be automatically converted into Investor A Shares, and, thereafter, investors will be subject to lower ongoing fees.

Performance information reflects past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Refer towww.blackrock.comto obtain performance data current to the most recent month end. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Figures shown in the performance tables on the previous pages assume reinvestment of all distributions, if any, at net asset value (“NAV”) on the ex-dividend date. Investment return and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Distributions paid to each class of shares will vary because of different levels of service, distribution and transfer agency fees applicable to each class, which are deducted from the income available to be paid to shareholders.

BlackRock Advisors, LLC (the “Manager”), the Fund’s investment adviser, has contractually agreed to waive and/or reimburse a portion of the Fund’s expenses. Without such waiver and/or reimbursement, the Fund’s performance would have been lower. The Manager is under no obligation to continue waiving and/or reimbursing its fees after the applicable termination date of such agreement. See Note 6 of the Notes to Financial Statements for additional information on waivers and/or reimbursements. The standardized 30-day yield includes the effects of any waivers and/or reimbursements. The unsubsidized 30-day yield excludes the effects of any waivers and/or reimbursements.

Disclosure of Expenses

Shareholders of the Fund may incur the following charges: (a) transactional expenses, such as sales charges; and (b) operating expenses, including investment advisory fees, service and distribution fees, including 12b-1 fees, acquired fund fees and expenses, and other fund expenses. The expense example on the previous pages (which are based on a hypothetical investment of $1,000 invested on November 1, 2018 and held through April 30, 2019) are intended to assist shareholders both in calculating expenses based on an investment in the Fund and in comparing these expenses with similar costs of investing in other mutual funds.

The expense example provides information about actual account values and actual expenses. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number corresponding to their share class under the heading entitled “Expenses Paid During the Period.”

The expense example also provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Fund and other funds, compare the 5% hypothetical examples with the 5% hypothetical example that appear in shareholder reports of other funds.

The expenses shown in the expense example are intended to highlight shareholders’ ongoing costs only and do not reflect transactional expenses, such as sales charges, if any. Therefore, the hypothetical example is useful in comparing ongoing expenses only, and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.

ABOUT FUND PERFORMANCE / DISCLOSUREOF EXPENSES 7

The Benefits and Risks of Leveraging

The Fund may utilize leverage to seek to enhance returns and NAV. However, there is no guarantee that these objectives can be achieved in all interest rate environments.

The Fund may utilize leverage by entering into reverse repurchase agreements. In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by the Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Fund’s shareholders benefit from the incremental net income.

The interest earned on securities purchased with the proceeds from leverage is distributed to the Fund’s shareholders, and the value of these portfolio holdings is reflected in the Fund’s per share NAV. However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other ongoing costs of leverage exceed the Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Fund had not used leverage.

Furthermore, the value of the Fund’s portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can also influence the value of portfolio investments. As a result, changes in interest rates can influence the Fund’s NAV positively or negatively in addition to the impact on the Fund’s performance from leverage. Changes in the direction of interest rates are difficult to predict accurately, and there is no assurance that the Fund’s leveraging strategy will be successful.

The use of leverage also generally causes greater changes in the Fund’s NAV and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV of the Fund’s shares than if the Fund were not leveraged. In addition, the Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of the leverage instruments, which may cause the Fund to incur losses. The use of leverage may limit the Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. The Fund incurs expenses in connection with the use of leverage, all of which are borne by the Fund’s shareholders and may reduce income.

Derivative Financial Instruments

The Fund may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Fund’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Fund’s investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

8 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Schedule of Investments April 30, 2019 BlackRock U.S. Mortgage Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Asset-Backed Securities — 2.9%
Arbor Realty Commercial Real Estate Notes Ltd., Series 2016-FL1A, Class A, (LIBOR USD 1 Month + 1.70%), 4.17%, 09/15/26(a)(b)	USD		790	$	788,072
BSPRT Issuer Ltd., Series 2018-FL3, Class A, (LIBOR USD 1 Month + 1.05%), 3.52%, 03/15/28(a)(b)			1,940		1,939,996
CWABS, Inc. Trust, Series 2004-6, Class 2A4, (LIBOR USD 1 Month + 0.90%), 3.38%, 11/25/34(a)			16		16,263
Dryden XXVIII Senior Loan Fund, Series 2013- 28A, Class A1LR, (LIBOR USD 3 Month + 1.20%), 3.88%, 08/15/30(a)(b)			1,000		996,559
Litigation Fee Residual Funding LLC, Series 2015-1, 4.00%, 10/30/27(c)			439		437,562
Long Beach Mortgage Loan Trust, Series 2006-10, Class 2A2, (LIBOR USD 1 Month + 0.11%), 2.59%, 11/25/36(a)			10		4,574
Progress Residential Trust(b):
Series 2015-SFR2, Class A, 2.74%, 06/12/32			786		783,463
Series 2017-SFR1, Class A, 2.77%, 08/17/34			419		414,544
Scholar Funding Trust, Series 2011-A, Class A, (LIBOR USD 3 Month + 0.90%), 3.66%, 10/28/43(a)(b)			406		406,492
SMB Private Education Loan Trust, Series 2015-C, Class A3, (LIBOR USD 1 Month + 1.95%), 4.42%, 08/16/32(a)(b)			500		517,244
World Financial Network Credit Card Master Trust, Series 2012-D, Class B, 3.34%, 04/17/23			700		700,162
Total Asset-Backed Securities — 2.9% (Cost: $6,978,143)					7,004,931
Non-Agency Mortgage-Backed Securities — 9.2%
Collateralized Mortgage Obligations — 1.1%
Alternative Loan Trust, Series 2004-12CB,
Class 1A1, 5.00%, 07/25/19			7		7,243
Banc of America Mortgage Trust, Series 2005-I, Class 2A5, 4.78%, 10/25/35(d)			205		204,861
CHL Mortgage Pass-Through Trust,Series 2005-17, Class 1A6, 5.50%, 09/25/35			101		100,105
CSMC Mortgage-Backed Trust, Series 2006-8,
Class 1A1, 4.50%, 10/25/21			14		13,229
Seasoned Credit Risk Transfer Trust:
Series 2018-2, Class MA, 3.50%, 11/25/57			481		486,580
Series 2018-3, Class MA, 3.50%, 08/25/57			650		657,598
Series 2018-4, Class MA, 3.50%, 03/25/58			1,148		1,165,205
					2,634,821
Commercial Mortgage-Backed Securities — 7.2%
1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2, 3.90%, 08/10/35(b)			370		386,758
280 Park Avenue Mortgage Trust, Series 2017- 280P, Class E, 4.59%, 09/15/34(b)(d)			210		210,788
AREIT Trust, Series 2018-CRE1, Class A, 3.33%, 02/14/35(b)(c)(d)			388		385,410
Atrium Hotel Portfolio Trust, Series 2017-ATRM, Class E, 5.52%, 12/15/36(b)(d)			330		332,371
Bancorp Commercial Mortgage Trust (The), Series 2018-CR3, Class A, 3.32%, 01/15/33(b)(d)			193		192,225
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class A, 3.36%, 04/10/29(b)			950		951,533

Security		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
CD Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48	USD		2,640	$	2,722,222
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3, 3.87%, 01/10/48			380		393,775
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A, 2.87%, 11/10/31(b)(d)			400		397,962
Commercial Mortgage Trust:
Series 2014-TWC, Class A, 3.32%, 02/13/32(b)(d)			1,145		1,145,001
Series 2014-UBS2, Class A5, 3.96%, 03/10/47			345		360,815
Series 2015-CR23, Class CMB, 3.81%, 05/10/48(b)(d)			800		804,962
Series 2015-CR25, Class C, 4.70%, 08/10/48(d)			50		50,995
Series 2015-CR26, Class ASB, 3.37%, 10/10/48			400		407,100
Series 2017-PANW, Class A, 3.24%, 10/10/29(b)			1,580		1,589,840
CSAIL Commercial Mortgage Trust, Series 2019-C15, Class A4, 4.05%, 03/15/52			165		174,572
GRACE Mortgage Trust, Series 2014-GRCE, Class F, 3.71%, 06/10/28(b)(d)			215		213,958
GS Mortgage Securities Corp. II, Series 2005- ROCK, Class A, 5.37%, 05/03/32(b)			335		376,481
GS Mortgage Securities Trust, Series 2015- GC32, Class D, 3.35%, 07/10/48			54		48,619
IMT Trust, Series 2017-APTS, Class BFX, 3.61%, 06/15/34(b)(d)			1,250		1,262,314
JPMorgan Chase Commercial Mortgage
Securities Trust:
Series 2014-C20, Class A5, 3.80%, 07/15/47			650		675,690
Series 2016-NINE, Class A, 2.95%, 10/06/38(b)(d)			640		626,846
LMREC, Inc., Series 2016-CRE2, Class A, 4.18%, 11/24/31(b)(d)			252		252,098
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A4, 3.72%, 07/15/50			905		938,580
Morgan Stanley Capital I, Series 2017-HR2, Class D, 2.73%, 12/15/50			80		69,127
Morgan Stanley Capital I Trust, Series 2014- 150E, Class A, 3.91%, 09/09/32(b)			595		620,057
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, 3.42%, 06/15/35(b)(d)			182		181,746
RAIT Trust, Series 2017-FL7, Class A, 3.42%, 06/15/37(b)(d)			306		304,561
Wells Fargo Commercial Mortgage Trust, Series 2018-BXI, Class E, 4.63%, 12/15/36(b)(d)			100		100,088
WFRBS Commercial Mortgage Trust: Series 2014-C21, Class A4, 3.41%, 08/15/47			675		689,115
Series 2014-C22, Class C, 3.91%, 09/15/57(d)			63		61,460
Series 2014-LC14, Class A4, 3.77%, 03/15/47			900		928,669
					17,855,738
Interest Only Commercial Mortgage-Backed Securities — 0.9%(d)
BANK, Series 2017-BNK9, Class XA, 0.96%, 11/15/54			4,338		239,446
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XA, 1.89%, 05/10/58			2,884		262,476

SCHEDULE OF INVESTMENTS 9

Schedule of Investments  (continued) April 30, 2019 BlackRock U.S. Mortgage Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Citigroup Commercial Mortgage Trust:
Series 2015-GC27, Class XA, 1.52%, 02/10/48	USD		8,407	$	516,069
Series 2017-P8, Class XA, 1.07%, 09/15/50			1,082		66,035
Core Industrial Trust(b):
Series 2015-TEXW, Class XA, 0.90%, 02/10/34			9,131		164,800
Series 2015-WEST, Class XA, 1.08%, 02/10/37			4,515		217,346
CSAIL Commercial Mortgage Trust, Series 2018-C14, Class XA, 0.73%, 11/15/51			1,300		55,890
CSMC OA LLC, Series 2014-USA, Class X1, 0.70%, 09/15/37(b)			10,500		297,491
Wells Fargo Commercial Mortgage Trust, Series 2017-C41, Class XA, 1.38%, 11/15/50			3,880		310,559
					2,130,112
Total Non-Agency Mortgage-Backed Securities — 9.2% (Cost: $22,492,243)					22,620,671
U.S. Government Sponsored Agency Securities — 153.4%
Collateralized Mortgage Obligations — 4.7%
Federal Home Loan Mortgage Corp., Series 4398, Class ZX, 4.00%, 09/15/54(c)			299		327,170
Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 2411, Class FJ, (LIBOR USD 1 Month + 0.35%), 2.82%, 12/15/29(a)			5		5,051
Federal National Mortgage Association:
Series 2010-134, Class KZ, 4.50%, 12/25/40			484		514,609
Series 2010-141, Class LZ, 4.50%, 12/25/40			612		651,112
Series 2011-131, Class LZ, 4.50%, 12/25/41			246		262,145
Series 2011-8, Class ZA, 4.00%, 02/25/41			1,233		1,281,044
Series 2017-69, Class HA, 3.00%, 06/25/46			2,237		2,245,448
Series 2017-87, Class UA, 3.50%, 12/25/44			1,076		1,093,166
Federal National Mortgage Association Grantor Trust, 0.00%, 08/01/48(e)			3,800		670,344
Federal National Mortgage Association Variable Rate Notes, Series 2019-1, Class AF, (LIBOR USD 1 Month + 0.50%), 2.98%, 02/25/49(a)			1,063		1,061,109
Government National Mortgage Association:
Series 2009-122, Class PY, 6.00%, 12/20/39			113		123,600
Series 2019-5, Class P, 3.50%, 07/20/48			806		821,645
Government National Mortgage Association Variable Rate Notes:
Series 2014-107, Class WX, 6.81%, 07/20/39(e)			460		518,965
Series 2018-164, Class AF, (LIBOR USD 1 Month + 0.40%), 2.88%, 12/20/48(a)			1,958		1,951,579
					11,526,987
Commercial Mortgage-Backed Securities — 3.9%
Federal Home Loan Mortgage Corp.:
Series K058, Class A2, 2.65%, 08/25/26			290		285,973
Series K079, Class A2, 3.93%, 06/25/28			845		907,036
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates:
Series K087, Class A2, 3.77%, 12/25/28			631		669,897
Series K091, Class A2, 3.51%, 03/25/29			2,218		2,295,816
Federal Home Loan Mortgage Corp. Variable Rate Notes(e):
Series 2019-SB60, Class A10F, 3.31%, 01/25/29			893		904,644

Security		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2019-SB61, Class A10F, 3.17%, 01/25/29	USD		739	$	742,070
Series K082, Class A2, 3.92%, 09/25/28			165		177,037
Series K086, Class A2, 3.86%, 11/25/51			1,160		1,239,741
Federal National Mortgage Association ACES Variable Rate Notes(e):
Series 2017-M15, Class A2, 3.06%, 09/25/27			1,015		1,014,779
Series 2018-M7, Class A2, 3.15%, 03/25/28			230		230,870
Series 2019-M1, Class A2, 3.67%, 09/25/28			700		730,849
Government National Mortgage Association:
Series 2019-53, Class V, 2.75%, 08/16/31			250		247,422
Series 2019-7, Class V, 3.00%, 05/16/35			95		94,675
					9,540,809
Interest Only Collateralized Mortgage Obligations — 1.5%
Federal Home Loan Mortgage Corp.:
Series 4062, Class GI, 4.00%, 02/15/41			368		36,004
Series 4791, Class LI, 3.00%, 05/15/48			1,232		206,826
Federal National Mortgage Association:
Series 2013-10, Class PI, 3.00%, 02/25/43			1,232		116,191
Series 2014-68, Class YI, 4.50%, 11/25/44			575		114,827
Series 2018-63, Class IO, 3.00%, 09/25/48			2,577		482,714
Federal National Mortgage Association Variable Rate Notes(a):
Series 2011-100, Class S, (LIBOR USD 1 Month + 6.45%), 3.97%, 10/25/41			39		5,643
Series 2016-60, Class SD, (LIBOR USD 1 Month + 6.10%), 3.62%, 09/25/46			2,307		349,466
Series 2016-78, Class CS, (LIBOR USD 1 Month + 6.10%), 3.62%, 05/25/39			2,971		441,230
Series 2016-81, Class CS, (LIBOR USD 1 Month + 6.10%), 3.62%, 11/25/46			1,569		218,092
Series 2017-14, Class DS, (LIBOR USD 1 Month + 6.05%), 3.57%, 03/25/47			2,337		412,700
Series 2017-70, Class SA, (LIBOR USD 1 Month + 6.15%), 3.67%, 09/25/47			1,499		275,050
Government National Mortgage Association:
Series 2014-113, Class NI, 5.00%, 07/20/44			734		153,985
Series 2017-139, Class IB, 4.50%, 09/20/47			1,648		279,794
Series 2017-144, Class DI, 4.50%, 09/20/47			1,196		195,688
Series 2018-89, Class CI, 5.00%, 12/20/47			1,562		322,833
					3,611,043
Interest Only Commercial Mortgage-Backed Securities — 2.8%
Federal Home Loan Mortgage Corp. Variable
Rate Notes:
Series 2015-K718, Class X2A, 0.10%, 02/25/48(b)(e)			68,679		146,377
Series K722, Class X1, (LIBOR USD 1 Month + 0.00%), 1.44%, 03/25/23(a)			3,794		154,399
Government National Mortgage Association Variable Rate Notes(e):
Series 2013-63, Class IO, 0.79%, 09/16/51			20,905		1,090,555
Series 2016-175, Class IO, 0.92%, 09/16/58			7,860		567,214
Series 2016-28, Class IO, 0.91%, 12/16/57			15,342		999,150
Series 2016-45, Class IO, 1.01%, 02/16/58			12,923		917,124
Series 2016-67, Class IO, 1.17%, 07/16/57			5,472		431,980
Series 2017-127, Class IO, 0.72%, 02/16/59			12,532		796,150
Series 2017-171, Class IO, 0.70%, 09/16/59			7,018		437,903
Series 2017-53, Class IO, 0.69%, 11/16/56			8,490		481,075
Series 2017-54, Class IO, 0.65%, 12/16/58			1,423		83,762
Series 2017-64, Class IO, 0.72%, 11/16/57			14,118		906,620
					7,012,309

10 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Schedule of Investments  (continued) April 30, 2019 BlackRock U.S. Mortgage Portfolio (Percentages shown are based on Net Assets)

Security		Par (000)		Value
Mortgage-Backed Securities — 140.5%
Federal Home Loan Mortgage Corp.:
2.50%, 03/01/30 - 04/01/31	USD		2,057	$	2,041,018
2.50%, 05/15/34(f)			1,793		1,774,159
3.00%, 09/01/27 - 03/01/49			14,130		14,018,442
3.00%, 05/15/34 - 05/15/49(f)			4,036		4,030,630
3.50%, 12/01/40 - 01/01/48			7,521		7,662,034
3.50%, 12/01/43 - 08/01/45(g)			7,092		7,228,490
4.00%, 08/01/40 - 02/01/49			15,130		15,604,561
4.00%, 06/01/48(g)			2,269		2,375,514
4.00%, 05/15/49(f)			11,257		11,560,386
4.50%, 07/01/26 - 10/01/48			4,372		4,641,491
5.00%, 11/01/24 - 02/01/42			1,712		1,842,457
5.50%, 02/01/35 - 06/01/41			839		917,267
6.00%, 08/01/28 - 11/01/39			28		30,920
Federal National Mortgage Association:
2.00%, 10/01/31 - 03/01/32			1,281		1,241,237
2.50%, 04/01/30 - 02/01/33			7,770		7,700,077
2.50%, 05/25/34 - 06/25/49(f)			2,469		2,387,017
3.00%, 04/01/28 - 03/01/47			25,956		25,857,855
3.00%, 05/25/34 - 05/25/49(f)			12,407		12,422,867
3.00%, 08/01/43(g)			2,949		2,929,662
3.13%, 09/01/27			449		458,191
3.16%, 03/01/27			684		697,445
3.50%, 11/01/27 - 01/01/48			22,586		23,032,464
3.50%, 07/01/43 - 06/01/44(g)			5,886		5,991,994
3.50%, 05/25/49(f)			10,494		10,588,948
4.00%, 08/01/31 - 08/01/48			27,509		28,621,993
4.00%, 05/25/34 - 05/25/49(f)			11,881		12,194,162
4.00%, 10/01/40 - 11/01/46(g)			8,053		8,411,723
4.50%, 07/01/24 - 07/01/48			11,394		12,087,456
4.50%, 07/01/44 - 12/01/48(g)			9,256		9,846,476
4.50%, 05/25/49(f)			14,350		14,931,423
4.99%, 09/01/44			90		96,475
5.00%, 01/01/23 - 06/01/39			637		672,102
5.00%, 06/01/39(g)			2,081		2,238,357
5.00%, 05/25/49 - 06/25/49(f)			2,737		2,883,911
5.50%, 06/01/24 - 03/01/40			1,190		1,302,026
5.50%, 05/25/49(f)			66		70,498
6.00%, 12/01/32 - 09/01/40			1,432		1,593,872
6.50%, 09/01/36 - 05/01/40			234		265,018
Government National Mortgage Association:
3.00%, 02/15/45 - 12/20/46			3,366		3,364,629
3.00%, 04/20/46 - 08/20/46(g)			10,245		10,241,105
3.00%, 05/15/49(f)			2,716		2,709,369
3.50%, 01/15/42 - 10/20/46			3,997		4,070,004
3.50%, 03/20/46 - 06/20/46(g)			18,308		18,647,887
3.50%, 05/15/49(f)			3,156		3,207,673
4.00%, 04/20/39 - 01/15/48			3,245		3,366,660
4.00%, 05/15/49 - 06/15/49(f)			17,518		18,037,325
4.50%, 09/20/39 - 07/20/48			7,705		8,068,713
4.50%, 05/15/49 - 06/15/49(f)			4,053		4,201,441
5.00%, 12/15/34 - 07/20/44			1,280		1,380,708
5.00%, 10/20/39(g)			1,593		1,702,184
5.00%, 05/15/49 - 06/15/49(f)			2,874		2,998,356
5.50%, 07/15/38 - 12/20/41			892		978,903
6.50%, 10/15/38 - 02/20/41			333		377,372
					345,602,947
Total U.S. Government Sponsored Agency Securities — 153.4% (Cost: $378,271,358)					377,294,095
Total Long-Term Investments — 165.5% (Cost: $407,741,744)					406,919,697

Security		Shares		Value
Short-Term Securities — 3.4%(h)
Dreyfus Treasury Prime Cash Management Institutional Shares, 2.27%			8,244,116	$	8,244,116
JPMorgan US Treasury Plus Money Market Fund, Agency Class, 2.25%			39,365		39,365
Total Short-Term Securities — 3.4% (Cost: $8,283,481)					8,283,481
Total Options Purchased — 0.0% (Cost: $65,479)					22,356
Total Investments Before Options Written and TBA Sale Commitments — 168.9% (Cost: $416,090,704)					415,225,534
Total Options Written — (0.2)% (Premium Received — $251,973)					(449,159	)
		Par (000)
TBA Sale Commitments — (45.0)%(f)
Mortgage-Backed Securities — (45.0)%
Federal Home Loan Mortgage Corp.:
3.00%, 05/15/49	USD		1,600		(1,581,313	)
4.00%, 05/15/49			11,257		(11,560,386	)
Federal National Mortgage Association:
2.50%, 05/25/34 - 05/25/49			6,499		(6,402,803	)
3.50%, 05/25/34 - 06/25/49			36,618		(36,979,428	)
3.00%, 05/25/49 - 06/25/49			5,812		(5,741,806	)
4.00%, 05/25/49 - 06/25/49			20,601		(21,135,484	)
4.50%, 05/25/49			15,763		(16,401,832	)
5.00%, 05/25/49			1,191		(1,255,272	)
5.50%, 05/25/49 - 06/25/49			132		(140,940	)
Government National Mortgage Association:
4.00%, 05/15/49			5,146		(5,299,174	)
4.50%, 05/15/49			2,498		(2,590,065	)
5.00%, 05/15/49			1,338		(1,396,145	)
Total TBA Sale Commitments — (45.0)% (Proceeds: $110,459,698)					(110,484,648	)
Total Investments Net of Options Written and TBA Sale Commitments — 123.7% (Cost: $305,379,033)					304,291,727
Liabilities in Excess of Other Assets — (23.7)%					(58,393,700	)
Net Assets — 100.0%				$	245,898,027

SCHEDULE OF INVESTMENTS 11

Schedule of Investments  (continued) April 30, 2019 BlackRock U.S. Mortgage Portfolio

^(a)  Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

^(b)  Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

^(c)  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

^(d)  Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

^(e)  Variable rate security. Rate shown is the rate in effect as of period end.

^(f)  Represents or includes a TBA transaction.

^(g)  All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

^(h)  Annualized 7-day yield as of period end.

Reverse Repurchase Agreements

Counterparty

Interest Rate

Trade Date

Maturity Date

Face Value

Face Value Including Accrued Interest

Type of Non-Cash Underlying Collateral

Remaining Contractual Maturity of the Agreements

Citigroup Global Markets, Inc.

2.90

%

03/14/19

Open

(a)

$

4,065,000

$

4,078,387

U.S. Treasury Obligations

Open/Demand(a)

U.S. Government Sponsored

BNP Paribas SA

2.60

04/08/19

05/13/19

3,155,000

3,160,241

Agency Securities

Up to 30 days

U.S. Government Sponsored

BNP Paribas SA

2.60

04/08/19

05/13/19

2,744,000

2,748,162

Agency Securities

Up to 30 days

U.S. Government Sponsored

BNP Paribas SA

2.60

04/08/19

05/13/19

8,121,000

8,133,317

Agency Securities

Up to 30 days

U.S. Government Sponsored

BNP Paribas SA

2.60

04/08/19

05/13/19

2,430,000

2,433,686

Agency Securities

Up to 30 days

U.S. Government Sponsored

BNP Paribas SA

2.60

04/08/19

05/13/19

2,873,000

2,877,357

Agency Securities

Up to 30 days

U.S. Government Sponsored

BNP Paribas SA

2.60

04/08/19

05/13/19

2,264,000

2,267,434

Agency Securities

Up to 30 days

U.S. Government Sponsored

BNP Paribas SA

2.60

04/08/19

05/13/19

2,924,000

2,928,435

Agency Securities

Up to 30 days

U.S. Government Sponsored

BNP Paribas SA

2.60

04/08/19

05/13/19

2,190,000

2,193,321

Agency Securities

Up to 30 days

U.S. Government Sponsored

BNP Paribas SA

2.60

04/08/19

05/13/19

2,910,000

2,914,413

Agency Securities

Up to 30 days

U.S. Government Sponsored

BNP Paribas SA

2.60

04/08/19

05/13/19

2,166,000

2,169,285

Agency Securities

Up to 30 days

U.S. Government Sponsored

BNP Paribas SA

2.60

04/08/19

05/13/19

3,299,000

3,304,003

Agency Securities

Up to 30 days

U.S. Government Sponsored

BNP Paribas SA

2.60

04/08/19

05/13/19

1,714,000

1,716,600

Agency Securities

Up to 30 days

U.S. Government Sponsored

BNP Paribas SA

2.60

04/08/19

05/13/19

2,304,000

2,307,494

Agency Securities

Up to 30 days

U.S. Government Sponsored

BNP Paribas SA

2.60

04/08/19

05/13/19

1,549,000

1,551,349

Agency Securities

Up to 30 days

U.S. Government Sponsored

BNP Paribas SA

2.60

04/08/19

05/13/19

1,459,000

1,461,213

Agency Securities

Up to 30 days

U.S. Government Sponsored

Credit Suisse AG NY Branch

2.58

04/08/19

05/13/19

2,319,000

2,322,490

Agency Securities

Up to 30 days

U.S. Government Sponsored

Credit Suisse AG NY Branch

2.58

04/08/19

05/13/19

1,642,000

1,644,471

Agency Securities

Up to 30 days

U.S. Government Sponsored

Credit Suisse AG NY Branch

2.58

04/08/19

05/13/19

3,912,000

3,917,888

Agency Securities

Up to 30 days

U.S. Government Sponsored

Credit Suisse AG NY Branch

2.58

04/08/19

05/13/19

5,130,000

5,137,721

Agency Securities

Up to 30 days

U.S. Government Sponsored

Credit Suisse AG NY Branch

2.58

04/08/19

05/13/19

6,774,000

6,784,195

Agency Securities

Up to 30 days

U.S. Government Sponsored

Credit Suisse AG NY Branch

2.58

04/08/19

05/13/19

3,948,000

3,953,942

Agency Securities

Up to 30 days

U.S. Government Sponsored

Credit Suisse AG NY Branch

2.58

04/08/19

05/13/19

6,005,000

6,014,037

Agency Securities

Up to 30 days

$

75,897,000

$

76,019,441

^(a)  Certain agreements have no stated maturity and can be terminated by either party at any time.

12 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Schedule of Investments  (continued) April 30, 2019 BlackRock U.S. Mortgage Portfolio

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts
U.S. Treasury Ultra Bond		1		06/19/19	$	164	$	(2,470	)
U.S. Treasury 2 Year Note		69		06/28/19		14,698		10,563
U.S. Treasury 5 Year Note		78		06/28/19		9,020		17,845
								25,938
Short Contracts
90-day Eurodollar		6		06/17/19		1,462		(2,645	)
U.S. Treasury 10 Year Note		96		06/19/19		11,873		(27,239	)
U.S. Treasury 10 Year Ultra Note		8		06/19/19		1,054		(6,576	)
U.S. Treasury Long Bond		2		06/19/19		295		153
90-day Eurodollar		6		09/16/19		1,463		(4,683	)
90-day Eurodollar		7		12/16/19		1,707		(722	)
90-day Eurodollar		7		03/16/20		1,709		(5,034	)
90-day Eurodollar		6		06/15/20		1,466		(5,483	)
90-day Eurodollar		6		09/14/20		1,467		(7,083	)
90-day Eurodollar		7		12/14/20		1,712		(2,385	)
90-day Eurodollar		7		03/15/21		1,713		90
								(61,607	)
							$	(35,669	)

OTC Interest Rate Swaptions Purchased

Description

Paid by the Fund

Received by the Fund

Counterparty

Expiration Date

Exercise Rate

Notional Amount (000)

Value

Rate

Frequency

Rate

Frequency

Put

5-Year Interest Rate Swap

2.72

%

Semi-Annual

3 month LIBOR

Quarterly

Barclays Bank plc

02/03/20

2.72

%

USD

2,580

$

7,166

10-Year Interest Rate Swap

3.20

%

Semi-Annual

3 month LIBOR

Quarterly

Citibank NA

02/20/20

3.20

%

USD

3,400

7,595

10-Year Interest Rate Swap

3.20

%

Semi-Annual

3 month LIBOR

Quarterly

Citibank NA

02/20/20

3.20

%

USD

3,400

7,595

$

22,356

Exchange-Traded Options Written

Description	Number of Contracts		Expiration Date		Exercise Price		Notional Amount (000)		Value
Call
90-day Eurodollar March 2020 Futures		96		03/16/20	USD	98.00	USD	24,000	$	(21,600	)

SCHEDULE OF INVESTMENTS 13

Schedule of Investments  (continued) April 30, 2019 BlackRock U.S. Mortgage Portfolio

OTC Interest Rate Swaptions Written

	Paid by the Fund				Received by the Fund				Counterparty	Expiration Date		Exercise Rate			Notional Amount (000)			Value
Description	Rate			Frequency	Rate			Frequency
Call
2-Year Interest Rate Swap		3 month LIBOR		Quarterly		2.85	%	Semi-Annual	Barclays Bank plc		05/20/19		2.85	%		USD	10,700	$	(101,338	)
5-Year Interest Rate Swap		3 month LIBOR		Quarterly		2.65	%	Semi-Annual	Citibank NA		06/07/19		2.65	%		USD	12,000		(189,227	)
10-Year Interest Rate Swap		3 month LIBOR		Quarterly		2.42	%	Semi-Annual	Barclays Bank plc		03/30/20		2.42	%		USD	3,565		(52,282	)
																			(342,847	)
Put
10-Year Interest Rate Swap		2.42	%	Semi-Annual		3 month LIBOR		Quarterly	Barclays Bank plc		03/30/20		2.42	%		USD	3,565		(84,712	)
																		$	(427,559	)

Centrally Cleared Interest Rate Swaps

Paid by the Fund		Received by the Fund		Termination Date		Notional Amount (000)			Value			Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
Rate	Frequency	Rate	Frequency
3 month LIBOR	Quarterly	3.01%	Semi-Annual		09/30/20		USD	5,500	$	43,155		$	—	$	43,155
3 month LIBOR	Quarterly	2.63%	Semi-Annual		01/08/21		USD	11,400		113,827			—		113,827
2.90%	Semi-Annual	3 month LIBOR	Quarterly		03/04/21		USD	10,600		(99,140	)		—		(99,140	)
2.70%	Semi-Annual	3 month LIBOR	Quarterly		03/07/21		USD	12,000		(66,259	)		—		(66,259	)
2.50%	Semi-Annual	3 month LIBOR	Quarterly		01/29/23		USD	14,285		(186,848	)		—		(186,848	)
2.71%	Semi-Annual	3 month LIBOR	Quarterly		02/06/23		USD	14,245		(203,246	)		—		(203,246	)
3 month LIBOR	Quarterly	2.90%	Semi-Annual		12/11/23		USD	3,700		120,657			—		120,657
3 month LIBOR	Quarterly	2.61%	Semi-Annual		02/07/24		USD	2,600		32,904			—		32,904
2.71%	Semi-Annual	3 month LIBOR	Quarterly		03/18/24		USD	6,400		(112,945	)		—		(112,945	)
2.85%	Semi-Annual	3 month LIBOR	Quarterly		12/21/28		USD	1,000		(37,378	)		—		(37,378	)
3 month LIBOR	Quarterly	2.73%	Semi-Annual		02/25/29		USD	2,200		42,585			—		42,585
2.64%	Semi-Annual	3 month LIBOR	Quarterly		03/14/29		USD	1,400		(16,324	)		—		(16,324	)
3 month LIBOR	Quarterly	2.44%	Semi-Annual		03/26/29		USD	1,480		(8,922	)		—		(8,922	)
3 month LIBOR	Quarterly	2.52%	Semi-Annual		04/08/29		USD	1,000		543			—		543
									$	(377,391	)	$	—		(377,391	)

OTC Credit Default Swaps — Buy Protection

Reference Obligation/Index	Financing Rate Paid by the Fund			Payment Frequency		Counterparty	Termination Date		Notional Amount (000)		Value		Upfront Premium Paid (Received)		Unrealized Appreciation (Depreciation)
CMBX.NA.9.BBB-		3.00	%		Monthly	JPMorgan Securities LLC		09/17/58	USD	3,100	$	104,592	$	326,660	$	(222,068	)

OTC Credit Default Swaps — Sell Protection

Reference Obligation/Index	Financing Rate Received by the Fund			Payment Frequency		Counterparty	Termination Date		Credit Rating (a)		Notional Amount (000) (b)		Value			Upfront Premium Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA.9.BBB-		3.00	%		Monthly	Deutsche Bank AG		09/17/58		BBB-	USD	3,100	$	(104,592	)	$	(357,527	)	$	252,935

^(a)  Using S&P Global Ratings (“S&P”) of the issuer or the underlying securities of the index, as applicable.

^(b)  The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

14 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Schedule of Investments  (continued) April 30, 2019 BlackRock U.S. Mortgage Portfolio

The following reference rates, and their values as of period end, are used for security descriptions:

Reference Index		Reference Rate
3 month LIBOR	London Interbank Offered Rate		2.58	%

Balances Reported in the Statement of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written

	Swap Premiums Paid		Swap Premiums Received			Unrealized Appreciation		Unrealized Depreciation			Value
Centrally Cleared Swaps(a)	$	—	$	—		$	353,671	$	(731,062	)	$	—
OTC Swaps		326,660		(357,527	)		252,935		(222,068	)		—
Options Written		N/A		N/A			31,581		(228,767	)		(449,159	)

^(a)  Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statement of Assets and Liabilities were as follows:

	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation on futures contracts(a)	$	—	$	—	$	—	$	—	$	28,651	$	—	$	28,651
Options purchased
Investments at value — unaffiliated(b)		—		—		—		—		22,356		—		22,356
Swaps — centrally cleared
Unrealized appreciation on centrally cleared swaps(a)		—		—		—		—		353,671		—		353,671
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid		—		579,595		—		—		—		—		579,595
	$	—	$	579,595	$	—	$	—	$	404,678	$	—	$	984,273
Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts(a)		—		—		—		—		64,320		—		64,320
Options written
Options written at value		—		—		—		—		449,159		—		449,159
Swaps — centrally cleared
Unrealized depreciation on centrally cleared swaps(a)		—		—		—		—		731,062		—		731,062
Swaps — OTC
Unrealized depreciation on OTC swaps; Swap premiums received		—		579,595		—		—		—		—		579,595
	$	—	$	579,595	$	—	$	—	$	1,244,541	$	—	$	1,824,136

^(a)  Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statement of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

^(b)  Includes options purchased at value as reported in the Schedule of Investments.

SCHEDULE OF INVESTMENTS 15

Schedule of Investments  (continued) April 30, 2019 BlackRock U.S. Mortgage Portfolio

For the year ended April 30, 2019, the effect of derivative financial instruments in the Statement of Operations were as follows:

	Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts			Other Contracts		Total
Net Realized Gain (Loss) from:
Futures contracts	$	—	$	—	$	—	$	—	$	(271,843	)	$	—	$	(271,843	)
Options purchased(a)		—		—		—		—		125,574			—		125,574
Options written		—		—		—		—		195,483			—		195,483
Swaps		—		3,859		—		—		(575,719	)		—		(571,860	)
	$	—	$	3,859	$	—	$	—	$	(526,505	)	$	—	$	(522,646	)
Net Change in Unrealized Appreciation
(Depreciation) on:
Futures contracts		—		—		—		—		(322,518	)		—		(322,518	)
Options purchased(b)		—		—		—		—		8,444			—		8,444
Options written		—		—		—		—		(240,627	)		—		(240,627	)
Swaps		—		17,829		—		—		(432,963	)		—		(415,134	)
	$	—	$	17,829	$	—	$	—	$	(987,664	)	$	—	$	(969,835	)

^(a) Options purchased are included in net realized gain (loss) from investments — unaffiliated.

^(b)  Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated.

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts:
Average notional value of contracts — long	$	19,508,419
Average notional value of contracts — short		35,984,262
Options:
Average value of option contracts purchased		—	(a)
Average value of option contracts written		5,400
Average notional value of swaption contracts purchased		15,298,000
Average notional value of swaption contracts written		65,297,500
Credit default swaps:
Average notional value — buy protection		4,762,500
Average notional value — sell protection		3,100,000
Interest rate swaps:
Average notional value — pays fixed rate		51,464,500
Average notional value — receives fixed rate		12,651,250

^(a)  Derivative not held at quarter-end. The risk exposure table serves as an indicator of activity during the period.

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

	Assets			Liabilities
Derivative Financial Instruments:
Future contracts	$	22,559		$	24,430
Options(a)		22,356			449,159
Swaps — Centrally cleared		—			24,801
Swaps — OTC(b)		579,595			579,595
Total derivative assets and liabilities in the Statement of Assets and Liabilities	$	624,510		$	1,077,985
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(22,559	)		(70,831	)
Total derivative assets and liabilities subject to an MNA	$	601,951		$	1,007,154

^(a) Includes options purchased at value which is included in Investments at value — unaffiliated in the Statement of Assets and Liabilities and reported in the Schedule of Investments.

^(b)  Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statement of Assets and Liabilities.

16 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Schedule of Investments  (continued) April 30, 2019 BlackRock U.S. Mortgage Portfolio

The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:

Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset (a)			Non-cash Collateral Received		Cash Collateral Received			Net Amount of Derivative Assets  (b)
Barclays Bank plc	$	7,166	$	(7,166	)	$	—	$	—		$	—
Citibank NA		15,190		(15,190	)		—		—			—
Deutsche Bank AG		252,935		(252,935	)		—		—			—
JPMorgan Securities LLC		326,660		(222,068	)		—		(100,000	)		4,592
	$	601,951	$	(497,359	)	$	—	$	(100,000	)	$	4,592

Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset (a)			Non-cash Collateral Pledged		Cash Collateral Pledged (c)			Net Amount of Derivative Liabilities  (d)
Barclays Bank plc	$	238,332	$	(7,166	)	$	—	$	—		$	231,166
Citibank NA		189,227		(15,190	)		—		—			174,037
Deutsche Bank AG		357,527		(252,935	)		—		(104,592	)		—
JPMorgan Securities LLC		222,068		(222,068	)		—		—			—
	$	1,007,154	$	(497,359	)	$	—	$	(104,592	)	$	405,203

^(a)  The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

^(b)  Net amount represents the net amount receivable from the counterparty in the event of default.

^(c)  Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

^(d)  Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1			Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities	$	—		$	6,567,369		$	437,562	$	7,004,931
Non-Agency Mortgage-Backed Securities		—			22,235,261			385,410		22,620,671
U.S. Government Sponsored Agency Securities		—			376,966,925			327,170		377,294,095
Short-Term Securities		8,283,481			—			—		8,283,481
Options Purchased:
Interest rate contracts		—			22,356			—		22,356
Liabilities:
Investments:
TBA Sale Commitments		—			(110,484,648	)		—		(110,484,648	)
	$	8,283,481		$	295,307,263		$	1,150,142	$	304,740,886
Derivative Financial Instruments(a)
Assets:
Credit contracts	$	—		$	252,935		$	—	$	252,935
Interest rate contracts		28,651			353,671			—		382,322
Liabilities:
Credit contracts		—			(222,068	)		—		(222,068	)
Interest rate contracts		(85,920	)		(1,158,621	)		—		(1,244,541	)
	$	(57,269	)	$	(774,083	)	$	—	$	(831,352	)

^(a)  Derivative financial instruments are swaps, futures contracts and options written. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

SCHEDULE OF INVESTMENTS 17

Schedule of Investments  (continued) April 30, 2019 BlackRock U.S. Mortgage Portfolio

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, Reverse Repurchase Agreements of $76,019,441 are categorized as Level 2 within the disclosure hierarchy.

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

	Asset- Backed Securities			Non-Agency Mortgage- Backed Securities			U.S. Government Sponsored Agency Securities			Total
Investments:
Assets:
Opening Balance, as of April 30, 2018	$	2,516,254		$	615,000		$	156,035		$	3,287,289
Transfers into level 3		—			—			289,550			289,550
Transfers out of level 3		(1,941,222	)		—			(156,036	)		(2,097,258	)
Accrued discounts/premiums		—			—			(450	)		(450	)
Net realized gain (loss)		4,430			—			—			4,430
Net change in unrealized appreciation (depreciation)(a)(b)		(3,748	)		(2,913	)		26,358			19,697
Purchases		—			—			11,713			11,713
Sales		(138,152	)		(226,677	)		—			(364,829	)
Closing Balance, as of April 30, 2019	$	437,562		$	385,410		$	327,170		$	1,150,142
Net change in unrealized appreciation (depreciation) on investments still held at April 30, 2019(b)	$	(3,748	)	$	(2,913	)	$	26,358		$	19,697

^(a) Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations.

^(b)  Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at April 30, 2019 is generally due to investments no longer held or categorized as Level 3 at period end.

The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.

See notes to financial statements.

18 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Statement of Assets and Liabilities

April 30, 2019

��

	BlackRock U.S. Mortgage Portfolio
ASSETS
Investments at value — unaffiliated (cost — $416,090,704)	$	415,225,534
Cash		3,485
Cash pledged:
Collateral — OTC derivatives		420,000
Futures contracts		130,000
Centrally cleared swaps		315,150
Receivables:
Investments sold		68,894,869
TBA sale commitments		110,459,698
Capital shares sold		309,799
Dividends — unaffiliated		9,536
Interest — unaffiliated		1,285,478
From the Manager		12,793
Variation margin on futures contracts		22,559
Swap premiums paid		326,660
Unrealized appreciation on:
OTC swaps		252,935
Prepaid expenses		24,823
Total assets		597,693,319
LIABILITIES
Cash received:
Collateral — reverse repurchase agreements		2,172
Collateral — OTC derivatives		100,000
Options written at value (premium received $251,973)		449,159
TBA sale commitments at value (proceeds $110,459,698)		110,484,648
Reverse repurchase agreements at value		76,019,441
Payables:
Investments purchased		163,154,799
Capital shares redeemed		486,615
Income dividend distributions		189,585
Investment advisory fees		54,731
Trustees’ and Officer’s fees		4,242
Other affiliates		652
Service and distribution fees		11,677
Variation margin on futures contracts		24,430
Variation margin on centrally cleared swaps		24,801
Other accrued expenses		208,745
Swap premiums received		357,527
Unrealized depreciation on:
OTC swaps		222,068
Total liabilities		351,795,292
NET ASSETS	$	245,898,027
NET ASSETS CONSIST OF
Paid-in capital	$	253,691,817
Accumulated loss		(7,793,790	)
NET ASSETS	$	245,898,027
NET ASSET VALUE
Institutional — Based on net assets of $211,534,467 and 21,073,777 shares outstanding, unlimited number of shares authorized, $0.01 par value	$	10.04
Investor A— Based on net assets of $26,577,146 and 2,652,250 shares outstanding, unlimited number of shares authorized, $0.01 par value	$	10.02
Investor C— Based on net assets of $7,786,414 and 776,795 shares outstanding, unlimited number of shares authorized, $0.01 par value	$	10.02

See notes to financial statements.

FINANCIAL STATEMENTS 19

Statement of Operations

Year Ended April 30, 2019

	BlackRock U.S. Mortgage Portfolio
INVESTMENT INCOME
Dividends — unaffiliated	$	77,929
Interest — unaffiliated		10,614,425
Total investment income		10,692,354
EXPENSES
Investment advisory		910,660
Service and distribution — class specific		182,750
Transfer agent — class specific		161,890
Professional		85,473
Registration		81,624
Board realignment and consolidation		78,186
Accounting services		65,041
Custodian		26,546
Printing		17,798
Trustees and Officer		15,086
Miscellaneous		17,859
Total expenses excluding interest expense		1,642,913
Interest expense		2,251,003
Total expenses		3,893,916
Less:
Fees waived and/or reimbursed by the Manager		(277,859	)
Transfer agent fees waived and/or reimbursed — class specific		(156,734	)
Total expenses after fees waived and/or reimbursed		3,459,323
Net investment income		7,233,031
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — unaffiliated		(2,532,645	)
Futures contracts		(271,843	)
Options written		195,483
Swaps		(571,860	)
		(3,180,865	)
Net change in unrealized appreciation (depreciation) on:
Investments — unaffiliated		7,161,292
Futures contracts		(322,518	)
Options written		(240,627	)
Swaps		(415,134	)
		6,183,013
Net realized and unrealized gain		3,002,148
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	10,235,179

See notes to financial statements.

20 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Statements of Changes in Net Assets

	BlackRock U.S. Mortgage Portfolio
	Year Ended April 30,
	2019			2018
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income	$	7,233,031		$	7,300,051
Net realized gain (loss)		(3,180,865	)		2,036,278
Net change in unrealized appreciation (depreciation)		6,183,013			(9,350,952	)
Net increase (decrease) in net assets resulting from operations		10,235,179			(14,623	)
DISTRIBUTIONS TO SHAREHOLDERS(a)(b)
Institutional		(7,159,590	)		(7,045,700	)
Investor A		(1,068,597	)		(1,492,059	)
Investor C		(304,581	)		(426,670	)
Decrease in net assets resulting from distributions to shareholders		(8,532,768	)		(8,964,429	)
CAPITAL SHARE TRANSACTIONS
Net increase (decrease) in net assets derived from capital share transactions		2,202,487			(44,657,637	)
NET ASSETS(b)
Total increase (decrease) in net assets		3,904,898			(53,636,689	)
Beginning of year		241,993,129			295,629,818
End of year	$	245,898,027		$	241,993,129

^(a) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(b) Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year Regulation S-X presentation changes. Refer to Note 12 for this prior year information.

See notes to financial statements.

FINANCIAL STATEMENTS 21

Statement of Cash Flows

Year Ended April 30, 2019

	BlackRock U.S. Mortgage Portfolio
CASH PROVIDED BY OPERATING ACTIVITIES
Net increase in net assets resulting from operations	$	10,235,179
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:
Proceeds from sales of long-term investments and principal paydowns		5,161,171,332
Purchases of long-term investments		(5,111,475,595	)
Net purchases of short-term securities		(7,251,208	)
Amortization of premium and accretion of discount on investments		187,617
Premiums received from options written		653,048
Premiums paid on closing options written		(396,023	)
Net realized (gain) loss on investments and options written		2,337,162
Net unrealized (appreciation) depreciation on investments, options written and swaps		(6,938,494	)
(Increase) Decrease in Assets:
Receivables:
Dividends — unaffiliated		(4,256	)
Interest — unaffiliated		402,447
From the Manager		53,408
Variation margin on futures contracts		(22,559	)
Swap premiums paid		8,289
Prepaid expenses		(3,444	)
Other assets		2,087
Increase (Decrease) in Liabilities:
Cash received:
Collateral — reverse repurchase agreements		2,172
Collateral — OTC derivatives		(300,000	)
Collateral — TBA commitments		(35,000	)
Payables:
Board realignment and consolidation		(9,255	)
Interest expense and fees		17,388
Investment advisory fees		(5,435	)
Trustees’ and Officer’s fees		2,669
Other accrued expenses		(19,119	)
Other affiliates		(1,066	)
Service and distribution fees		(8,536	)
Variation margin on futures contracts		(8,764	)
Variation margin on centrally cleared swaps		(5,773	)
Swap premiums received		(62,715	)
Net cash provided by operating activities		48,525,556
CASH USED FOR FINANCING ACTIVITIES
Cash dividends paid to shareholders		(1,992,380	)
Payments on redemption of capital shares		(116,591,853	)
Proceeds from issuance of capital shares		111,931,718
Net borrowing of reverse repurchase agreements		(41,942,000	)
Decrease in due to broker		(106,524	)
Net cash used for financing activities		(48,701,039	)
CASH
Net decrease in restricted and unrestricted cash		(175,483	)
Restricted and unrestricted cash at beginning of year		1,044,118
Restricted and unrestricted cash at end of year	$	868,635
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid during the year for interest expense	$	2,233,615
NON-CASH FINANCING ACTIVITIES
Capital shares issued in reinvestment of dividends and distributions paid to shareholders	$	6,572,029

See notes to financial statements.

22 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Statement of Cash Flows  (continued)

Year Ended April 30, 2019

	April 30,
	2019		2018
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH TO THE STATEMENT OF ASSETS AND LIABILITIES:
Cash	$	3,485	$	10,968
Cash pledged:
Collateral — OTC derivatives		420,000		420,000
Futures contracts		130,000		363,000
Centrally cleared swaps		315,150		250,150
	$	868,635	$	1,044,118

See notes to financial statements.

FINANCIAL STATEMENTS 23

Financial Highlights

(For a share outstanding throughout each period)

	BlackRock U.S. Mortgage Portfolio
	Institutional
	Year Ended April 30,
	2019			2018			2017			2016			2015
Net asset value, beginning of year	$	9.96		$	10.31		$	10.44		$	10.55		$	10.24
Net investment income(a)		0.32			0.29			0.21			0.24			0.23
Net realized and unrealized gain (loss)		0.14			(0.29	)		(0.02	)		(0.00	)(b)		0.33
Net increase from investment operations		0.46			0.00			0.19			0.24			0.56
Distributions(c)
From net investment income		(0.38	)		(0.35	)		(0.32	)		(0.27	)		(0.25	)
From net realized gain		—			—			—			(0.08	)		—
Total distributions		(0.38	)		(0.35	)		(0.32	)		(0.35	)		(0.25	)
Net asset value, end of year	$	10.04		$	9.96		$	10.31		$	10.44		$	10.55
Total Return(d)
Based on net asset value		4.73	%		0.00	%		1.80	%(e)		2.27	%		5.50	%
Ratios to Average Net Assets
Total expenses		1.62	%		1.08	%		0.59	%		0.62	%		0.65	%
Total expenses after fees waived and/or reimbursed and paid indirectly		1.44	%		0.91	%		0.51	%		0.55	%		0.65	%
Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense		0.45	%		0.45	%		0.47	%		0.51	%		0.65	%
Net investment income		3.26	%		2.82	%		2.04	%		2.31	%		2.18	%
Supplemental Data
Net assets, end of year (000)	$	211,534		$	189,916		$	222,745		$	206,193		$	195,169
Portfolio turnover rate(f)		1,580	%		1,521	%		1,502	%		2,669	%		1,710	%

^(a)  Based on average shares outstanding.

^(b)  Amount is greater than $(0.005) per share.

^(c)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(d)  Where applicable, assumes the reinvestment of distributions.

^(e)  Includes payment received from a settlement of litigation, which impacted the Fund’s total return. Excluding the payment from a settlement of litigation, the Fund’s total return would have been 1.61%.

^(f)  Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

	For the Year Ended April 30,
	2019			2018			2017			2016			2015
Portfolio turnover rate (excluding MDRs)		841	%		826	%		887	%		2,104	%		1,062	%

See notes to financial statements.

24 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Financial Highlights  (continued)

(For a share outstanding throughout each period)

	BlackRock U.S. Mortgage Portfolio
	Investor A
	Year Ended April 30,
	2019			2018			2017			2016			2015
Net asset value, beginning of year	$	9.94		$	10.29		$	10.43		$	10.53		$	10.22
Net investment income(a)		0.30			0.26			0.18			0.21			0.20
Net realized and unrealized gain (loss)		0.14			(0.28	)		(0.03	)		0.01			0.33
Net increase (decrease) from investment operations		0.44			(0.02	)		0.15			0.22			0.53
Distributions(b)
From net investment income		(0.36	)		(0.33	)		(0.29	)		(0.24	)		(0.22	)
From net realized gain		—			—			—			(0.08	)		—
Total distributions		(0.36	)		(0.33	)		(0.29	)		(0.32	)		(0.22	)
Net asset value, end of year	$	10.02		$	9.94		$	10.29		$	10.43		$	10.53
Total Return(c)
Based on net asset value		4.47	%		(0.25	)%		1.43	%(d)		2.06	%		5.22	%
Ratios to Average Net Assets
Total expenses		1.94	%		1.37	%		0.91	%		0.94	%		0.95	%
Total expenses after fees waived and/or reimbursed and paid indirectly		1.69	%		1.16	%		0.79	%		0.85	%		0.92	%
Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense		0.70	%		0.70	%		0.75	%		0.81	%		0.91	%
Net investment income		3.01	%		2.56	%		1.75	%		2.04	%		1.88	%
Supplemental Data
Net assets, end of year (000)	$	26,577		$	37,782	��	$	51,429		$	77,652		$	62,677
Portfolio turnover rate(e)		1,580	%		1,521	%		1,502	%		2,669	%		1,710	%

^(a)  Based on average shares outstanding.

^(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(c)  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

^(d)  Includes payment received from a settlement of litigation, which impacted the Fund’s total return. Excluding the payment from a settlement of litigation, the Fund’s total return would have been 1.23%.

^(e)  Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

	For the Year Ended April 30,
	2019			2018			2017			2016			2015
Portfolio turnover rate (excluding MDRs)		841	%		826	%		887	%		2,104	%		1,062	%

See notes to financial statements.

FINANCIAL HIGHLIGHTS 25

Financial Highlights  (continued)

(For a share outstanding throughout each period)

	BlackRock U.S. Mortgage Portfolio
	Investor C
	Year Ended April 30,
	2019			2018			2017			2016			2015
Net asset value, beginning of year	$	9.94		$	10.30		$	10.43		$	10.53		$	10.22
Net investment income(a)		0.22			0.18			0.10			0.13			0.12
Net realized and unrealized gain (loss)		0.14			(0.29	)		(0.02	)		0.01			0.33
Net increase (decrease) from investment operations		0.36			(0.11	)		0.08			0.14			0.45
Distributions(b)
From net investment income		(0.28	)		(0.25	)		(0.21	)		(0.16	)		(0.14	)
From net realized gain		—			—			—			(0.08	)		—
Total distributions		(0.28	)		(0.25	)		(0.21	)		(0.24	)		(0.14	)
Net asset value, end of year	$	10.02		$	9.94		$	10.30		$	10.43		$	10.53
Total Return(c)
Based on net asset value		3.70	%		(1.09	)%		0.77	%(d)		1.30	%		4.44	%
Ratios to Average Net Assets
Total expenses		2.69	%		2.12	%		1.64	%		1.66	%		1.69	%
Total expenses after fees waived and/or reimbursed and paid indirectly		2.44	%		1.91	%		1.54	%		1.60	%		1.66	%
Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense		1.45	%		1.45	%		1.50	%		1.56	%		1.65	%
Net investment income		2.25	%		1.80	%		1.00	%		1.29	%		1.17	%
Supplemental Data
Net assets, end of year (000)	$	7,786		$	14,295		$	21,455		$	21,757		$	14,193
Portfolio turnover rate(e)		1,580	%		1,521	%		1,502	%		2,669	%		1,710	%

^(a)  Based on average shares outstanding.

^(b)  Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(c)  Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

^(d)  Includes payment received from a settlement of litigation, which impacted the Fund’s total return. Excluding the payment from a settlement of litigation, the Fund’s total return would have been 0.58%.

^(e)  Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

	For the Year Ended April 30,
	2019			2018			2017			2016			2015
Portfolio turnover rate (excluding MDRs)		841	%		826	%		887	%		2,104	%		1,062	%

See notes to financial statements.

26 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Notes to Financial Statements

1. ORGANIZATION

Managed Account Series II (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust. BlackRock U.S. Mortgage Portfolio (the “Fund”) is a series of the Trust. The Fund is classified as diversified.

The Fund offers multiple classes of shares. All classes of shares have identical voting, dividend, liquidation and other rights and are subject to the same terms and conditions, except that certain classes bear expenses related to the shareholder servicing and distribution of such shares. Institutional Shares are sold without a sales charge and only to certain eligible investors. Investor A Shares are generally sold with an initial sales charge, and may be subject to a contingent deferred sales charge (“CDSC”) for certain redemptions where no initial sales charge was paid at the time of purchase. The sales charge does not apply to dividend and capital gain reinvestments by existing shareholders and new purchases for certain employer-sponsored retirement plans, which are currently the only investors who may invest in Investor A Shares. Investor C Shares may be subject to a CDSC. Investor A and Investor C Shares bear certain expenses related to shareholder servicing of such shares, and Investor C Shares also bear certain expenses related to the distribution of such shares. Investor A and Investor C Shares are generally available through financial intermediaries. Effective November 8, 2018, the Fund adopted an automatic conversion feature whereby Investor C Shares held for approximately ten years will be automatically converted into Investor A Shares, and, thereafter, investors will be subject to lower ongoing fees. Each class has exclusive voting rights with respect to matters relating to its shareholder servicing and distribution expenditures (except that Investor C shareholders may vote on material changes to the Investor A distribution and service plan).

Share Class	Initial Sales Charge	CDSC			Conversion Privilege
Institutional Shares	No		No		None
Investor A Shares	Yes		No	(a)	None
Investor C Shares	No		Yes		To Investor A Shares after approximately 10 years

^(a)  Investor A Shares may be subject to a CDSC for certain redemptions where no initial sales charge was paid at the time of purchase.

The Fund, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, is included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.

Reorganization: The Board approved an Agreement and Plan of Reorganization with respect to BlackRock U.S. Mortgage Portfolio (the “Target Fund,” a series of Managed Account Series), pursuant to which the Target Fund reorganized into a newly created series (the “Acquiring Fund”) of Managed Account Series II, a newly organized Delaware statutory trust. The reorganization (the “Reorganization”) closed on September 17, 2018 and was not subject to approval by shareholders of the Target Fund.

Target Fund	Target Fund’s Registrant	Acquiring Fund	Acquiring Fund’s Registrant
BlackRock U.S. Mortgage Portfolio	Managed Account Series	BlackRock U.S. Mortgage Portfolio	Managed Account Series II

The Reorganization was effected in connection with the reconfiguration of the boards of directors/trustees of certain BlackRock-advised funds.

The Acquiring Fund has the same investment objective, strategies and policies, investment adviser, portfolio management team and service providers as the Target Fund. The Target Fund is the performance and accounting survivor of its Reorganization, meaning that the Acquiring Fund assumed the performance and financial history of the Target Fund upon completion of the Reorganization. In addition, the Acquiring Fund is subject to the same contractual arrangements, including the same contractual fees and expenses, as those of the Target Fund as of the date of the Reorganization. The Reorganization was tax-free, meaning that the Target Fund’s shareholders became shareholders of the Acquiring Fund without realizing any gain or loss for federal income tax purposes.

As a result, the Acquiring Fund acquired all of the assets and assumed all of the liabilities of the Target Fund in exchange for an equal aggregate value of newly-issued shares of the Acquiring Fund. Each shareholder of the Target Fund received shares of the Acquiring Fund in an amount equal to the aggregate net asset value (“NAV”) of such shareholder’s Target Fund shares, as determined at the close of business on September 14, 2018.

The Reorganization was accomplished by a tax-free exchange of shares of the Acquiring Fund in the following amounts and at the following conversion ratio:

Target Fund	Shares Prior to Reorganization	Conversion Ratio	Shares Post- Reorganization
BlackRock U.S. Mortgage Portfolio	23,674,049	1	23,674,049

For financial reporting purposes, assets received and shares issued by the Acquiring Fund were recorded at fair value. However, the cost basis of the investments received from the Target Fund was carried forward to align ongoing reporting of the Acquiring Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

Prior to the Reorganization, the Acquiring Fund had not yet commenced operations and had no assets or liabilities. The Target Fund’s net assets, fair value, cost of investments and derivative financial instruments prior to the Reorganization were as follows:

Target Fund	Net Assets		Fair Value of Investments		Cost of Investments
BlackRock U.S. Mortgage Portfolio	$	234,449,398	$	229,676,535	$	236,719,490

Prior to the Reorganization’s effective date, the Target Fund began to incur expenses in connection with the realignment and consolidation of the boards of directors/trustees of certain BlackRock-advised funds. These expenses and liabilities have been assumed by the Acquiring Fund. The Manager has voluntarily agreed to reimburse certain Acquiring Funds for all or a portion of such expenses, which amounts are included in fees waived and/or reimbursed by the Manager in the Statement of Operations.

NOTESTO FINANCIAL STATEMENTS 27

Notes to Financial Statements  (continued)

2. SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed (the “trade dates”). Realized gains and losses on investment transactions are determined on the identified cost basis. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on an accrual basis. Income, expenses and realized and unrealized gains and losses are allocated daily to each class based on its relative net assets.

Segregation and Collateralization: In cases where the Fund enters into certain investments (e.g., dollar rolls, to-be-announced (“TBA”) sale commitments, futures contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, the Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions from net investment income are declared daily and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

Recent Accounting Standards: In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management continues to evaluate the impact of this guidance to the Fund.

Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to the Fund or its classes are charged to the Fund or the applicable class. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods. Expenses directly related to the Fund and other shared expenses prorated to the Fund are allocated daily to each class based on its relative net assets or other appropriate methods.

3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies:The following methods and inputs are used to establish the fair value of the Fund’s assets and liabilities:

• Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

• Futures contracts traded on exchanges are valued at their last sale price.

• Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and options on swaps

28 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Notes to Financial Statements  (continued)

(“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

• Swap agreements are valued utilizing quotes received daily by the Fund’s pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

• To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that the Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the following inputs.

	Standard Inputs Generally Considered By Third Party Pricing Services
Market approach	(i)  recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii)   market multiples of comparable issuers.
Income approach	(i)  future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii)   other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.
Cost approach	(i)  audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii)   relevant news and other public sources; and (iv)   known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by the Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date the Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price the Fund could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

• Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

• Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

• Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors.

The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

NOTESTO FINANCIAL STATEMENTS 29

Notes to Financial Statements  (continued)

4. SECURITIES AND OTHER INVESTMENTS

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury. Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.

Forward Commitments and When-Issued Delayed Delivery Securities: The fund may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The fund may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the fund may be required to pay more at settlement than the security is worth. In addition, the fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

TBA Commitments: TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.

In order to better define contractual rights and to secure rights that will help a fund mitigate their counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statement of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedule of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.

Mortgage Dollar Roll Transactions: The fund may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and realize gains and losses on these transactions.

30 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Notes to Financial Statements  (continued)

Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statement of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statement of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.

For the year ended April 30, 2019, the Fund’s average amount of reverse repurchase agreements and the daily weighted average interest rate was $95,119,010 and 2.33%, respectively.

Reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities and cash as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

As of period end, the following table is a summary of the Fund’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

Counterparty	Reverse Repurchase Agreements			Fair Value of Non-cash Collateral Pledged Including Accrued Interest(a)		Cash Collateral Pledged		Net Amount
BNP Paribas SA	$	(42,166,311	)	$	39,160,272	$	—	$	(3,006,039	)(b)
Citigroup Global Markets, Inc.		(4,078,386	)		—		—		(4,078,386	)(c)
Credit Suisse AG NY Branch		(29,774,744	)		29,774,744		—		—
	$	(76,019,441	)	$	68,935,016	$	—	$	(7,084,425	)

^(a)  Net collateral with a value of $69,837,091 has been pledged in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

^(b)  Non-cash collateral with a value of $4,265,973 has been sold and is pending settlement as of April 30, 2019.

^(c)  Non-cash collateral with a value of $4,102,804 has been sold and is pending settlement as of April 30, 2019.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.

5. DERIVATIVE FINANCIAL INSTRUMENTS

The Fund engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Fund and/or to manage its exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.

NOTESTO FINANCIAL STATEMENTS 31

Notes to Financial Statements  (continued)

Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

Options: The Fund purchases and writes call and put options to increase or decrease its exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statement of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statement of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statement of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Fund writes a call option, such option is typically “covered,” meaning that it holds the underlying instrument subject to being called by the option counterparty. When the Fund writes a put option, such option is covered by cash in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statement of Assets and Liabilities.

• Swaptions — The Fund purchases and writes options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Fund’s holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

In purchasing and writing options, the Fund bears the risk of an unfavorable change in the value of the underlying instrument or the risk that it may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Fund purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Fund and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statement of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statement of Assets and Liabilities. Payments received or paid are recorded in the Statement of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statement of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statement of Operations.

• Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk).

The Fund may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Fund will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

• Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

32 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Notes to Financial Statements  (continued)

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.

Cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, is reported separately in the Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Fund. Any additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Fund from its counterparties are not fully collateralized, it bears the risk of loss from counterparty non-performance. Likewise, to the extent the Fund has delivered collateral to a counterparty and stands ready to perform under the terms of its agreement with such counterparty, it bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statement of Assets and Liabilities.

6. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: The Trust, on behalf of the Fund, entered into an Investment Advisory Agreement with the Manager, the Fund’s investment adviser, an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of the Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Fund.

For such services, the Fund pays the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of the Fund’s net assets:

Average Daily Net Assets	Investment Advisory Fees
First $1 Billion		0.40	%
$1 Billion — $3 Billion		0.38
$3 Billion — $5 Billion		0.36
$5 Billion — $10 Billion		0.35
Greater than $10 Billion		0.34

Service and Distribution Fees: The Trust, on behalf of the Fund, entered into a Distribution Agreement and a Distribution and Service Plan with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager. Pursuant to the Distribution and Service Plan and in accordance with Rule 12b-1 under the 1940 Act, the Fund pays BRIL ongoing service and distribution fees. The fees are accrued daily and paid monthly at annual rates based upon the average daily net assets of the relevant share class of the Fund as follows:

	Service Fee			Distribution Fee
Investor A		0.25	%		—	%
Investor C		0.25			0.75

BRIL and broker-dealers, pursuant to sub-agreements with BRIL, provide shareholder servicing and distribution services to the Fund. The ongoing service and/or distribution fee compensates BRIL and each broker-dealer for providing shareholder servicing and/or distribution related services to shareholders.

NOTESTO FINANCIAL STATEMENTS 33

Notes to Financial Statements  (continued)

For the year ended April 30, 2019, the following table shows the class specific service and distribution fees borne directly by each share class of the Fund:

	Service and Distribution Fees
Investor A	$	74,692
Investor C		108,058
	$	182,750

Transfer Agent: For the year ended April 30, 2019, the following table shows the class specific transfer agent fees borne directly by each share class of the Fund:

Institutional	$	107,976
Investor A		40,158
Investor C		13,756
	$	161,890

Other Fees: For the year ended April 30, 2019, affiliates earned underwriting discounts, direct commissions and dealer concessions on sales of the Fund’s Investor A Shares of $595.

For the year ended April 30, 2019, affiliates received CDSCs as follows:

Investor A	$	41
Investor C		417

Expense Limitations, Waivers, and Reimbursements: The Manager has contractually agreed to waive its investment advisory fee with respect to any portion of the Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds (“ETFs”) that have a contractual management fee through August 31, 2020. The contractual agreement may be terminated upon 90 days’ notice by a majority of the trustees who are not “interested persons” of the Fund, as defined in the 1940 Act (“Independent Trustees”), or by a vote of a majority of the outstanding voting securities of the Fund. For the year ended April 30, 2019, there were no fees waived and/or reimbursed by the Manager pursuant to this agreement.

The Fund has incurred expenses in connection with the realignment and consolidation of the boards of trustees of certain BlackRock-advised funds. The Manager has voluntarily agreed to reimburse the Fund for all or a portion of such expenses, which amounts are included in fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended April 30, 2019, the amount reimbursed was $78,186.

The Manager contractually agreed to waive and/or reimburse fees or expenses in order to limit expenses, excluding interest expense, dividend expense, tax expense, acquired fund fees and expenses, and certain other fund expenses, which constitute extraordinary expenses not incurred in the ordinary course of the Fund’s business (“expense limitation”). The expense limitations as a percentage of average daily net assets are as follows:

Institutional	0.45	%
Investor A	0.70
Investor C	1.45

The Manager has agreed not to reduce or discontinue this contractual expense limitation through August 31, 2020, unless approved by the Board, including a majority of Independent Trustees, or by a vote of a majority of the outstanding voting securities of the Fund. For the year ended April 30, 2019, the Manager waived $199,673, which is included in fees waived and/or reimbursed by the Manager in the Statement of Operations. These amounts waived and/or reimbursed are included in fees waived and/ or reimbursed by the Manager, and transfer agent fees waived and/or reimbursed — class specific in the Statement of Operations. For the year ended April 30, 2019, class specific expense waivers and/or reimbursements are as follows:

	Transfer Agent Fees Waived and/or Reimbursed
Institutional	$	103,371
Investor A		39,763
Investor C		13,600
	$	156,734

For the year ended April 30, 2019, the Fund reimbursed the Manager $2,362 for certain accounting services, which is included in accounting services in the Statement of Operations.

Interfund Lending: In accordance with an exemptive order (the “Order”) from the U.S. Securities and Exchange Commission (“SEC”), the Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the Fund’s investment policies and restrictions. The Fund is currently permitted to borrow and lend under the Interfund Lending Program.

A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency

34 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Notes to Financial Statements  (continued)

purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.

During the year ended April 30, 2019, the Fund did not participate in the Interfund Lending Program.

Trustees and Officers: Certain trustees and/or officers of the Trust are trustees and/or officers of BlackRock or its affiliates. The Fund reimburses the Manager for a portion of the compensation paid to the Trust’s Chief Compliance Officer, which is included in Trustees and Officer in the Statement of Operations.

7. PURCHASES AND SALES

For the year ended April 30, 2019, purchases and sales of investments including paydowns, mortgage dollar rolls and excluding short-term securities were as follows:

	Purchases		Sales
Non-U.S Government Securities	$	4,951,159,902	$	5,016,798,016
U.S Government Securities		4,987,820		5,080,669

For the year ended April 30, 2019, purchases and sales related to mortgage dollar rolls were as follows:

Purchases and Sales — MDRs
Purchases	$	2,316,867,904
Sales		2,316,972,653

8. INCOME TAX INFORMATION

It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

The Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Fund’s U.S. federal tax returns generally remains open for each of the four years ended April 30, 2019. The statutes of limitations on the Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Fund as of April 30, 2019, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.

The tax character of distributions paid was as follows:

	4/30/19		4/30/18
Ordinary income	$	8,532,768	$	8,964,429

As of period end, the tax components of accumulated loss were as follows:

Undistributed ordinary income	$	114,648
Non-expiring capital loss carryforwards(a)		(6,449,734	)
Net unrealized losses(b)		(1,458,704	)
	$	(7,793,790	)

^(a)  Amounts available to offset future realized capital gains.

^(b)  The differences between book-basis and tax-basis net unrealized losses were attributable primarily to the to the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains/losses on certain futures and options contracts, the accounting for swap agreements.

As of April 30, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

Tax cost	$	416,103,767
Gross unrealized appreciation	$	3,217,995
Gross unrealized depreciation		(4,676,699	)
Net unrealized depreciation	$	(1,458,704	)

9. BANK BORROWINGS

The Trust, on behalf of the Fund, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.25 billion credit agreement with a group of lenders. Under this agreement, the Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2020 unless extended or renewed. Participating Funds paid an upfront commitment fee of 0.02% on the total commitment amounts, in addition to administration, legal and arrangement fees, which

NOTESTO FINANCIAL STATEMENTS 35

Notes to Financial Statements  (continued)

are included in miscellaneous expenses in the Statement of Operations. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. Prior to April 18, 2019, Participating Funds paid an upfront commitment fee of 0.02% on the total commitment amounts, in addition to administration, legal and arrangement fees, which are included in miscellaneous expenses in the Statement of Operations. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the year ended April 30, 2019, the Fund did not borrow under the credit agreement.

10. PRINCIPAL RISKS

In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. The Fund’s prospectus provides details of the risks to which the Fund is subject.

The Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force the Fund to reinvest in lower yielding securities. The Fund may also be exposed to reinvestment risk, which is the risk that income from the Fund’s portfolio will decline if the Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below the Fund portfolio’s current earnings rate.

The price the Fund could receive upon the sale of any particular portfolio investment may differ from the Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by the Fund, and the Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. The Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by the Fund.

For OTC options purchased, the Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund, and not the counterparty, to perform. The Fund may be exposed to counterparty credit risk with respect to options written to the extent the Fund deposits collateral with its counterparty to a written option.

With exchange-traded options purchased and futures and centrally cleared swaps, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.

Concentration Risk: The Fund invests a significant portion of its assets in fixed-income securities and/or uses derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Fund may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

The Fund invests a significant portion of its assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Investment percentages in these securities are presented in the Schedule of Investments. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

36 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Notes to Financial Statements  (continued)

11. CAPITAL SHARE TRANSACTIONS

Transactions in capital shares for each class were as follows:

	Year Ended 04/30/19						Year Ended 04/30/18
	Shares			Amount			Shares			Amount
Institutional
Shares sold		9,726,730		$	96,695,283			10,002,449		$	101,948,116
Shares issued in reinvestment of distributions		531,691			5,286,788			478,222			4,879,817
Shares redeemed		(8,261,935	)		(81,872,764	)		(13,003,600	)		(132,806,871	)
Net increase (decrease)		1,996,486		$	20,109,307			(2,522,929	)	$	(25,978,938	)
Investor A
Shares sold and automatic conversion of shares		1,458,427		$	14,494,201			854,548		$	8,739,089
Shares issued in reinvestment of distributions		99,569			988,065			130,418			1,328,437
Shares redeemed		(2,707,597	)		(26,859,830	)		(2,178,910	)		(22,151,905	)
Net decrease		(1,149,601	)	$	(11,377,564	)		(1,193,944	)	$	(12,084,379	)
Investor C
Shares sold		83,674		$	828,972			149,623		$	1,529,074
Shares issued in reinvestment of distributions		29,946			297,176			41,567			423,460
Shares redeemed and automatic conversion of shares		(774,999	)		(7,655,404	)		(836,940	)		(8,546,854	)
Net decrease		(661,379	)	$	(6,529,256	)		(645,750	)	$	(6,594,320	)
Total Net Increase (Decrease)		185,506		$	2,202,487			(4,362,623	)	$	(44,657,637	)

12. REGULATION S-X AMENDMENTS

On August 17, 2018, the SEC adopted amendments to certain disclosure requirements in Securities Act Release No. 33-10532, Disclosure Update and Simplification. The Fund has adopted the amendments pertinent to Regulation S-X in this shareholder report. The amendments impacted certain disclosure presentation on the Statement of Assets and Liabilities, Statements of Changes in Net Assets and Notes to the Financial Statements.

Prior year distribution information and undistributed (distributions in excess of) net investment income in the Statements of Changes in Net Assets has been modified to conform to the current year presentation in accordance with the Regulation S-X changes.

Distributions for the year ended April 30, 2018 were classified as follows:

Share Class	Net Investment Income
Institutional	$	(7,045,700	)
Investor A		(1,492,059	)
Investor C		(426,670	)

For year ended April 30, 2018, the Fund’s undistributed net investment income was $286,015.

13. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.

NOTESTO FINANCIAL STATEMENTS 37

Report of Independent Registered Public Accounting Firm

To the Shareholders of BlackRock U.S. Mortgage Portfolio and the Board of Trustees of Managed Account Series II:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statement of assets and liabilities of BlackRock U.S. Mortgage Portfolio of Managed Account Series II (the “Fund”), including the schedule of investments, as of April 30, 2019, the related statement of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of April 30, 2019, and the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of two years in the period ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of April 30, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

June 21, 2019

We have served as the auditor of one or more BlackRock investment companies since 1992.

Important Tax Information  (unaudited)

During the fiscal year ended April 30, 2019 , the following information is provided with respect to the ordinary income distributions paid by the Fund:

	Payable Date/Months Paid
Interest Related Dividends for Non-U.S. Residents(a)	May 2018	87.64	%
	June 2018 — December 2018	100.00
	January 2019 — April 2019	99.34

^(a) Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

38 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Trustee and Officer Information

Independent Trustees (a)
Name Year of Birth (b)	Position(s) Held (Length of Service) (c)	Principal Occupation(s) During Past Five Years	Number of BlackRock-Advised Registered Investment Companies (“RICs”)  Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Directorships held During the Past Five Years
Richard E. Cavanagh 1946	Co-Chair of the Board and Trustee (Since 2007)	Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (a not-for-profit organization) from 2015 to 2018 (board member since 2009); Director, Arch Chemicals (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007 and Executive Dean from 1987 to 1995; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.	88 RICs consisting of 112 Portfolios	None
Karen P. Robards 1950	Co-Chair of the Board and Trustee (Since 2007)	Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Enable Injections, LLC (medical devices) since 2019; Investment Banker at Morgan Stanley from 1976 to 1987.	88 RICs consisting of 112 Portfolios	Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017
Michael J. Castellano 1946	Trustee (Since 2011)	Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015 and since 2017; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) since 2015.	88 RICs consisting of 112 Portfolios	None
Cynthia L. Egan 1955	Trustee (Since 2016)	Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007.	88 RICs consisting of 112 Portfolios	Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016
Frank J. Fabozzi 1948	Trustee (Since 2007)	Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) since 2011; Visiting Professor, Princeton University for the 2013 to 2014 academic year and Spring 2017 semester; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale’s Executive Programs; Board Member, BlackRock Equity-Liquidity Funds from 2014 to 2016; affiliated professor Karlsruhe Institute of Technology from 2008 to 2011.	88 RICs consisting of 112 Portfolios	None
Henry Gabbay 1947	Trustee (Since 2007)	Board Member, BlackRock Equity-Bond Board from 2007 to 2018; Board Member, BlackRock Equity-Liquidity and BlackRock Closed-End Fund Boards from 2007 through 2014; Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock, Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC from 1998 to 2007; President of BlackRock Funds and BlackRock Allocation Target Shares (formerly, BlackRock Bond Allocation Target Shares) from 2005 to 2007 and Treasurer of certain closed-end funds in the BlackRock fund complex from 1989 to 2006.	88 RICs consisting of 112 Portfolios	None
R. Glenn Hubbard 1958	Trustee (Since 2007)	Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988.	88 RICs consisting of 112 Portfolios	ADP (data and information services); Metropolitan Life Insurance Company (insurance); KKR Financial Corporation (finance) from 2004 until 2014
W. Carl Kester 1951	Trustee (Since 2007)	George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.	88 RICs consisting of 112 Portfolios	None

TRUSTEEAND OFFICER INFORMATION 39

Trustee and Officer Information  (continued)

Independent Trustees (a)(continued)
Name Year of Birth (b)	Position(s) Held (Length of Service) (c)	Principal Occupation(s) During Past Five Years	Number of BlackRock-Advised Registered Investment Companies (“RICs”)  Consisting of Investment Portfolios (“Portfolios”) Overseen	Public Company and Other Investment Company Directorships held During the Past Five Years
Catherine A. Lynch 1961	Trustee (Since 2016)	Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999.	88 RICs consisting of 112 Portfolios	None
		Interested Trustees (a)(d)
Robert Fairbairn 1965	Trustee (Since 2015)	Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016.	126 RICs consisting of 295 Portfolios	None
John M. Perlowski 1964	Trustee (Since 2015); President and Chief Executive Officer (Since 2011)	Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.	126 RICs consisting of 295 Portfolios	None

^(a)  The address of each Trustee is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

^(b)  Each Independent Trustees hold office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement, or removal as provided by the Trust’s by laws or charter or statue, or until December 31 of the year in which he or she turns 75. Trustees who are “ interested persons” as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Trust’s by-laws and statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Trustee on a case-by-case basis, as appropriate.

^(c)  Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Certain Independent Trustees first become members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998. Certain other Independent Trustees became members of the boards of the closed-end funds in the Fixed-Income Complex as follows: Michael J. Castellano, 2011; Cynthia L. Egan, 2016; and Catherine A. Lynch, 2016.

^(d)  Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Trust based on their positions with BlackRock, Inc and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Multi-Assets Complex.

40 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Trustee and Officer Information  (continued)

Officers Who Are Not Trustees (a)
Name Year of Birth (b)	Position(s) Held (Length of Service)	Principal Occupation(s) During Past Five Years
Jennifer McGovern 1977	Vice President (Since 2014)	Managing Director of BlackRock, Inc. since 2016; Director of BlackRock, Inc. from 2011 to 2015; Head of Product Structure and Oversight for BlackRock’s U.S. Wealth Advisory Group since 2013.
Neal J. Andrews 1966	Chief Financial Officer (Since 2007)	Chief Financial Officer of the iShares® exchange traded funds since 2019; Managing Director of BlackRock, Inc. since 2006.
Jay M. Fife 1970	Treasurer (Since 2007)	Managing Director of BlackRock, Inc. since 2007.
Charles Park 1967	Chief Compliance Officer (Since 2014)	Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.
John MacKessy 1972	Anti-Money Laundering Compliance Officer (Since 2018)	Director of BlackRock, Inc. since 2017; Global Head of Anti-Money Laundering at BlackRock, Inc. since 2017; Director of AML Monitoring and Investigations Group of Citibank from 2015 to 2017; Global Anti-Money Laundering and Economic Sanctions Officer for MasterCard from 2011 to 2015.
Benjamin Archibald 1975	Secretary (Since 2012)	Managing Director of BlackRock, Inc. since 2014; Director of BlackRock, Inc. from 2010 to 2013; Secretary of the iShares® exchange traded funds since 2015; Secretary of the BlackRock-advised mutual funds since 2012.

^(a)  The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

^(b)  Officers of the Trust serve at the pleasure of the Board.

Further information about the Trust’s Trustees and Officers is available in the Trust’s Statement of Additional Information, which can be obtained without charge by calling (800) 441-7762.

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Accounting Agent

JPMorgan Chase Bank, N.A.

New York, NY 10179

Custodian

JPMorgan Chase Bank, N.A.

New York, NY 10179

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

Wilmington, DE 19809

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Distributor

BlackRock Investments, LLC

New York, NY 10022

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Address of the Trust

100 Bellevue Parkway

Wilmington, DE 19809

TRUSTEEAND OFFICER INFORMATION 41

Additional Information

Proxy Results

A Special Meeting of Shareholders was held on November 21, 2018 for shareholders of record on September 24, 2018, to elect a Board of Trustees of the Trust. The newly elected Trustees took office effective January 1, 2019.

Shareholders approved the Trustees* of Managed Account Series II with voting results as follows:

	Votes For		Votes Withheld
Michael J. Castellano		19,174,422		77,259
Richard E. Cavanagh		19,174,422		77,259
Cynthia L. Egan		19,177,709		73,972
Frank J. Fabozzi		19,185,416		66,265
Robert Fairbairn		19,158,022		93,659
Henry Gabbay		19,174,422		77,259
R. Glenn Hubbard		19,177,627		74,054
W. Carl Kester		19,174,422		77,259
Catherine A. Lynch		19,169,920		81,761
John M. Perlowski		19,158,022		93,659
Karen P. Robards		19,169,920		81,761

* Denotes Trust-wide proposal and voting results.

The above Trustees, referred to as the BlackRock Fixed-Income Board, have also been elected to serve as trustees for other BlackRock-advised non-index fixed-income mutual funds and all of the BlackRock-advised closed-end funds.

General Information

Householding

The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Fund at (800) 441-7762.

Availability of Quarterly Schedule of Investments

The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website athttp://www.sec.gov. The Fund’s Form N-Q may also be obtained upon request and without charge by calling (800) 441-7762.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 441-7762; (2) athttp://www.blackrock.com; and (3) on the SEC’s website athttp://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Fund voted proxies relating to securities held in the Fund’s portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) athttp://www.blackrock.com; or by calling (800) 441-7762 and (2) on the SEC’s website athttp://www.sec.gov.

BlackRock’s Mutual Fund Family

BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visithttp://www.blackrock.com for more information.

Shareholder Privileges

Account Information

Call us at (800) 441-7762 from 8:00 AM to 6:00 PM ET on any business day to get information about your account balances, recent transactions and share prices. You can also reach us on the Web athttp://www.blackrock.com.

42 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

Additional Information  (continued)

Automatic Investment Plans

Investor Class shareholders who want to invest regularly can arrange to have $50 or more automatically deducted from their checking or savings account and invested in any of the BlackRock funds.

Systematic Withdrawal Plans

Investor Class shareholders can establish a systematic withdrawal plan and receive periodic payments of $50 or more from their BlackRock funds, as long as their account balance is at least $10,000.

Retirement Plans

Shareholders may make investments in conjunction with Traditional, Rollover, Roth, Coverdell, Simple IRAs, SEP IRAs and 403(b) Plans.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

ADDITIONAL INFORMATION 43

Glossary of Terms Used in this Report

Currency
USD	United States Dollar

Portfolio Abbreviations
CMBX	Commercial Mortgage-Backed Securities Index
CSMC	Credit Suisse Mortgage Capital
LIBOR	London Interbank Offered Rate
OTC	Over-the-counter
S&P	S&P Global Ratings
TBA	To-be-announced

44 2019 BLACKROCK ANNUAL REPORTTO SHAREHOLDERS

This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless preceded or accompanied by the Fund’s current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.

MAS-4/19-AR

Item 2 –	Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make othernon-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls1-800-441-7762.
Item 3 –	Audit Committee Financial Expert – The registrant’s board of trustees (the “board of trustees”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent: Michael Castellano Frank J. Fabozzi Henry Gabbay Catherine A. Lynch Karen P. Robards The registrant’s board of directors has determined that Karen P. Robards qualifies as an audit committee financial expert pursuant to Item 3(c)(4) of FormN-CSR. Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and anon-profit organization. Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.
Item 4 –	Principal Accountant Fees and Services The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

	(a) Audit Fees		(b) Audit-Related Fees1		(c) Tax Fees2		(d) All Other Fees
Entity Name	Current         Fiscal  Year     End	Previous         Fiscal  Year     End	Current       Fiscal Year      End	Previous       Fiscal Year      End	Current       Fiscal Year      End	Previous       Fiscal Year      End	Current       Fiscal Year      End	Previous       Fiscal Year     End
BlackRock U.S. Mortgage Portfolio	$31,824	$31,824	$0	$0	$15,400	$16,000	$0	$0

2

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC ( the “Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including anysub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):

	Current Fiscal Year End	Previous Fiscal Year End
(b) Audit-Related Fees1	$0	$0
(c) Tax Fees2	$0	$0
(d) All Other Fees3	$2,050,500	$2,274,000

¹ The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters,out-of-pocket expenses and internal control reviews not required by regulators.

² The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

³Non-audit fees of $2,050,500 and $2,274,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(e)(1) Audit CommitteePre-Approval Policies and Procedures:

            The Committee has adopted policies and procedures with regard to thepre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specificpre-approval by the Committee. The Committee also must approve othernon-audit services provided to the registrant and thosenon-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of thesenon-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specificcase-by-case basis (“generalpre-approval”). The term of any generalpre-approval is 12 months from the date of thepre-approval, unless the Committee provides for a different period. Tax or othernon-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemedpre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

            Any proposed services exceeding thepre-approved cost levels will require specificpre-approval by the Committee, as will any other services not subject to generalpre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to generalpre-approval at the next regularly scheduledin-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permittednon-audit services, including services exceedingpre-approved cost levels.

3

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X.

(f) Not Applicable

(g) The aggregatenon-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

Entity Name	Current Fiscal Year End	Previous Fiscal Year End
BlackRock U.S. Mortgage Portfolio	$15,400	$16,000

Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored and advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

Current Fiscal Year End	Previous Fiscal Year End
$2,050,500	$2,274,000

These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(h) The Committee has considered and determined that the provision ofnon-audit services that were rendered to the Investment Adviser and the Affiliated Service Providers that were notpre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining the principal accountant’s independence.

Item 5 –   Audit Committee of Listed Registrants – Not Applicable

Item 6 –   Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous FormN-CSR filing.

Item 7 –   Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies – Not Applicable

Item 8 –   Portfolio Managers ofClosed-End Management Investment Companies – Not Applicable

4

Item 9 –  Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers – Not Applicable

Item 10 –  Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

Item 11 –  Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – Disclosure of Securities Lending Activities forClosed-End Management Investment Companies – Not Applicable

Item 13 – Exhibits attached hereto

(a)(1) Code of Ethics – See Item 2

(a)(2) Certifications – Attached hereto

(a)(3) Not Applicable

(a)(4) Not Applicable

(b)    Certifications – Attached hereto

5

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Managed Account Series II
By:	/s/ John M. Perlowski
	John M. Perlowski
	Chief Executive Officer (principal executive officer) of
	Managed Account Series II

Date: July 8, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ John M. Perlowski
	John M. Perlowski
	Chief Executive Officer (principal executive officer) of
	Managed Account Series II

Date: July 8, 2019

By:	/s/ Neal J. Andrews
	Neal J. Andrews
	Chief Financial Officer (principal financial officer) of
	Managed Account Series II

Date: July 8, 2019

6